Are international stock returns predictable? An application of spectral shape tests corrected for heteroskedasticity

Journal of Economics and Business

Volumn 57, Issue 2, 2005, Pages 103-118

  McPherson, Matthew Q ^a   Palardy, Joseph ^b   Vilasuso, Jon ^c  

^a GONZAGA UNIVERSITY   (United States)

^b YOUNGSTOWN STATE UNIVERSITY   (United States)

^c WEST VIRGINIA UNIVERSITY   (United States)

Author keywords

Conditional heteroskedasticity; Spectral density function

Indexed keywords

EID: 16844383026     PISSN: 01486195     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconbus.2004.09.007     Document Type: Article

References (38)

1. A. Agrawal & K. Tandon Anomalies or illusions? Evidence from stock markets in eighteen countries Journal of International Money and Finance 13 February (1) 1994 86-106
2. V. Akgiray Conditional heteroskedasticity in time series of stock returns: Evidence and forecasts Journal of Business 62 January (1) 1989 55-80
3. N. Barberis A. Shleifer & R. Vishny A model of investor sentiment Journal of Financial Economics 49 September (3) 1998 307-343
4. M.S. Bartlett On the theoretical specification of sampling properties of autocorrelated time series Supplement to the Journal of Royal Statistical Society 8 1 1946 27-41
5. D. Bizer & S.N. Durlauf Testing the positive theory of government finance Journal of Monetary Economics August (26) 1990 123-141
6. L.K.S. Chan N. Jegadeesh & J. Lakonishok Momentum strategies Journal of Finance 51 December (5) 1996 1681-1713
7. C. Chatfield The analysis of time series: An introduction 1980 Chapman and Hall New York
8. Y. Cheung & K.S. Lai A search for long-memory in international stock market returns Journal of International Money and Finance 14 August (4) 1995 597-615
9. J. Cochrane How big is the random walk in GNP? Journal of Political Economy 96 October (5) 1988 893-920
10. D.M. Cutler J.M. Poterba & L.H. Summers Speculative dynamics Review of Economics Studies 58 May (3) 1991 529-546
11. K. Daniel The power and size of mean reversion tests Journal of Empirical Finance 8 December (5) 2001 493-535
12. P.J.F. De Lima On the robustness of non-linearity tests to moment condition failure Journal of Econometrics 76 January-February (1-2) 1997 251-280
13. R.S. Deo Spectral tests of the martingale hypothesis under conditional heteroscedasticity Journal of Econometrics 99 December (2) 2000 291-315
14. S.N. Durlauf Spectral based testing of the martingale hypothesis Journal of Econometrics 50 December (3) 1991 355-376
15. R.F. Engle Autoregressive conditional heteroskedasticity with estimates of the variance of UK inflation Econometrica 50 July (4) 1982 987-1008
16. E. Fama Efficient capital markets: A review of theory and empirical work Journal of Finance 25 May (2) 1970 383-417
17. E. Fama Efficient capital markets. II Journal of Finance 46 December (5) 1991 1575-1617
18. E. Fama & K. French Permanent and transitory components of stock prices Journal of Political Economy 96 April (2) 1988 246-273
19. W.M. Fong & S. Ouliaris Spectral tests of the martingale hypothesis for exchange rates Journal of Applied Econometrics 10 September (3) 1995 255-271
20. P. Frennberg & B. Hansson Testing the random walk hypothesis on Swedish stock prices: 1919-1990 Journal of Banking and Finance 17 February (1) 1993 175-191
21. U. Grenander & M. Rosenblatt Statistical analysis of stationary time series 1957 John Wiley New York
22. H. Hong & J.C. Stein A unified theory of underreaction, momentum trading, and overreaction in asset markets Journal of Finance 54 December (6) 1999 2143-2184
23. J.F. Jaffe & R. Westerfield The week-end effect in common stock returns: The international evidence Journal of Finance 40 June (2) 1985 433-454
24. N. Jegadeesh Seasonality in stock price mean reversion: Evidence from the US and the UK Journal of Finance 46 September (4) 1991 1427-1444
25. N. Jegadeesh & S. Titman Returns to buying winners and selling losers: Implications for stock market efficiency Journal of Finance 48 March (1) 1993 65-91
26. G.A. Karolyi A multivariate GARCH model of international transmission of stock returns and volatility: The case of the United States and Canada Journal of Business & Economic Statistics 13 January (1) 1995 11-25
27. M.J. Kim C.R. Nelson & R. Startz Mean reversion in stock prices? A reappraisal of the empirical evidence Review of Economic Studies 58 May (3) 1991 515-528
28. G. Koutmos & G.G. Booth Asymmetric volatility transmission in international stock markets Journal of International Money and Finance 14 December (6) 1995 747-762
29. A.W. Lo Long-memory in stock market prices Econometrica 59 September (5) 1991 1279-1313
30. A.W. Lo & A.C. MacKinlay Stock market prices do not follow random walks: Evidence from a simple specification test Review of Financial Studies 1 Spring (1) 1988 41-66
31. D. Malliaropulos & R. Priestley Mean Reversion in southeast Asian stock markets Journal of Empirical Finance 6 October (4) 1999 355-384
32. G. McQueen Long-horizon mean reverting stock prices revisited Journal of Financial and Quantitative Analysis 27 March (1) 1992 1-18
33. D.N. Politis & H. White Automatic block-length selection for the dependent bootstrap Econometric Reviews February 23 (1) 2004 53-70
34. J. Poterba & L. Summers Mean reversion in stock returns: Evidence and implications Journal of Financial Economics 22 October (1) 1988 27-60
35. A.J. Richards Winner-loser reversals in national stock market indices: Can they be explained? Journal of Finance 52 December (5) 1997 2129-2144
36. K.G. Rouwenhorst International momentum strategies Journal of Finance 53 February (1) 1998 267-284
37. G.W. Schwert & P.J. Seguin Heteroskedasticity in stock returns Journal of Finance 45 September (4) 1990 1129-1155
38. G.R. Shorak & J.A. Wellner Empirical processes with applications to statistics 1987 Wiley New York