메뉴 건너뛰기




Volumn 182, Issue 1, 2007, Pages 436-454

Is the predictability of emerging and developed stock markets really exploitable?

Author keywords

Artificial neural networks; Emerging stock markets; Finance; Forecasting

Indexed keywords

FINANCE; FORECASTING; FUNCTION EVALUATION; MARKETING; MATHEMATICAL MODELS; NEURAL NETWORKS;

EID: 34147107574     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ejor.2006.07.032     Document Type: Article
Times cited : (33)

References (39)
  • 1
    • 0002992459 scopus 로고    scopus 로고
    • Stock selection in emerging markets: Portfolio strategies for Malaysia, Mexico and South Africa
    • Achour D., Harvey C.R., Hopkins G., and Lang C. Stock selection in emerging markets: Portfolio strategies for Malaysia, Mexico and South Africa. Emerging Markets Quarterly Winter (1998) 38-91
    • (1998) Emerging Markets Quarterly , vol.Winter , pp. 38-91
    • Achour, D.1    Harvey, C.R.2    Hopkins, G.3    Lang, C.4
  • 3
    • 34147143358 scopus 로고    scopus 로고
    • Ang, A., Bekaert, G., 2001. Stock return predictability: Is it there? NBER Working Papers, number 8207.
  • 4
    • 0036509955 scopus 로고    scopus 로고
    • Robustness of size and value effects in emerging equity markets, 1985-2000
    • Barry C.B., Goldreyer E., Lockwood L.J., and Rodriguez M. Robustness of size and value effects in emerging equity markets, 1985-2000. Emerging Markets Review 3 1 (2002) 1-30
    • (2002) Emerging Markets Review , vol.3 , Issue.1 , pp. 1-30
    • Barry, C.B.1    Goldreyer, E.2    Lockwood, L.J.3    Rodriguez, M.4
  • 11
    • 84972539015 scopus 로고
    • Neural networks: A review from a statistical perspective
    • Cheng B., and Titerington D.M. Neural networks: A review from a statistical perspective. Statistical Science 9 1 (1994) 2-54
    • (1994) Statistical Science , vol.9 , Issue.1 , pp. 2-54
    • Cheng, B.1    Titerington, D.M.2
  • 12
    • 0000027842 scopus 로고
    • Is the gilt-equity yield ratio useful for predicting UK stock returns?
    • Clare A.D., Thomas S.H., and Wickens M.R. Is the gilt-equity yield ratio useful for predicting UK stock returns?. Economic Journal 104 (1994) 303-315
    • (1994) Economic Journal , vol.104 , pp. 303-315
    • Clare, A.D.1    Thomas, S.H.2    Wickens, M.R.3
  • 14
    • 0035206399 scopus 로고    scopus 로고
    • Liquidity, volatility and equity trading costs across countries and over time
    • Domowitz I., Glen J., and Madhavan A. Liquidity, volatility and equity trading costs across countries and over time. International Finance 4 2 (2001) 221-255
    • (2001) International Finance , vol.4 , Issue.2 , pp. 221-255
    • Domowitz, I.1    Glen, J.2    Madhavan, A.3
  • 15
    • 11544342489 scopus 로고    scopus 로고
    • Value versus growth: The international Evidence
    • Fama E.F., and French K.R. Value versus growth: The international Evidence. Journal of Finance 53 (1998) 1975-1999
    • (1998) Journal of Finance , vol.53 , pp. 1975-1999
    • Fama, E.F.1    French, K.R.2
  • 16
    • 30744454344 scopus 로고    scopus 로고
    • On the out-of-sample predictability of stock market returns
    • Guo H. On the out-of-sample predictability of stock market returns. Journal of Business 79 2 (2006) 645-670
    • (2006) Journal of Business , vol.79 , Issue.2 , pp. 645-670
    • Guo, H.1
  • 17
    • 21844487168 scopus 로고
    • Predictable risk and returns in emerging markets
    • Harvey C.R. Predictable risk and returns in emerging markets. Review of Financial Studies 8 (1995) 773-816
    • (1995) Review of Financial Studies , vol.8 , pp. 773-816
    • Harvey, C.R.1
  • 18
    • 3242743194 scopus 로고    scopus 로고
    • Forecasting emerging market returns using neutral networks
    • Harvey C.R., Costa M.J., and Travers K.E. Forecasting emerging market returns using neutral networks. Emerging Markets Quarterly 4 2, Summer (2000) 43-54
    • (2000) Emerging Markets Quarterly , vol.4 , Issue.2 Summer , pp. 43-54
    • Harvey, C.R.1    Costa, M.J.2    Travers, K.E.3
  • 19
    • 0025751820 scopus 로고
    • Approximation capabilities of multilayer feed-forward networks
    • Hornik K. Approximation capabilities of multilayer feed-forward networks. Neural Networks 4 (1991) 251-257
    • (1991) Neural Networks , vol.4 , pp. 251-257
    • Hornik, K.1
  • 20
    • 0024880831 scopus 로고
    • Multilayer feedforward networks are universal approximators
    • Hornik K., Stinchcombe M., and White H. Multilayer feedforward networks are universal approximators. Neural Networks 2 (1989) 359-366
    • (1989) Neural Networks , vol.2 , pp. 359-366
    • Hornik, K.1    Stinchcombe, M.2    White, H.3
  • 21
    • 84977719043 scopus 로고
    • Chaos and nonlinear dynamics: Application to financial markets
    • Hsieh D. Chaos and nonlinear dynamics: Application to financial markets. Journal of Finance 46 (1991) 1839-1877
    • (1991) Journal of Finance , vol.46 , pp. 1839-1877
    • Hsieh, D.1
  • 22
    • 1542426286 scopus 로고    scopus 로고
    • The profitability of daily stock market indices trades based on Neural Network predictions: Case study for the S&P500, the DAX, the TOPIX and the FTSE in the period 1965-1999
    • Jasic T., and Wood D. The profitability of daily stock market indices trades based on Neural Network predictions: Case study for the S&P500, the DAX, the TOPIX and the FTSE in the period 1965-1999. Applied Financial Economics 14 4 (2004) 285-297
    • (2004) Applied Financial Economics , vol.14 , Issue.4 , pp. 285-297
    • Jasic, T.1    Wood, D.2
  • 23
    • 0007300753 scopus 로고    scopus 로고
    • The contribution of emerging markets in international diversification strategies
    • Kohers T.G., and Pandey V. The contribution of emerging markets in international diversification strategies. Applied Financial Economics 8 5 (1998) 445-454
    • (1998) Applied Financial Economics , vol.8 , Issue.5 , pp. 445-454
    • Kohers, T.G.1    Pandey, V.2
  • 24
    • 84948516717 scopus 로고
    • Artificial neural networks: An econometric perspective
    • Kuan C.M., and White H. Artificial neural networks: An econometric perspective. Econometric Reviews 13 (1994) 1-91
    • (1994) Econometric Reviews , vol.13 , pp. 1-91
    • Kuan, C.M.1    White, H.2
  • 25
    • 0000867768 scopus 로고
    • International diversification of investment portfolios
    • Levy H., and Sarnat M. International diversification of investment portfolios. American Economic Review 60 4 (1970) 668-675
    • (1970) American Economic Review , vol.60 , Issue.4 , pp. 668-675
    • Levy, H.1    Sarnat, M.2
  • 26
    • 7444239079 scopus 로고    scopus 로고
    • Predicting returns with financial ratios
    • Lewellen J. Predicting returns with financial ratios. Journal of Financial Economics 74 2 (2004) 209-235
    • (2004) Journal of Financial Economics , vol.74 , Issue.2 , pp. 209-235
    • Lewellen, J.1
  • 27
    • 11144260896 scopus 로고    scopus 로고
    • Predictability of stock markets with disequilibrium trading. A commentary paper
    • Milobedzki P. Predictability of stock markets with disequilibrium trading. A commentary paper. European Journal of Finance 10 5 (2004) 345-352
    • (2004) European Journal of Finance , vol.10 , Issue.5 , pp. 345-352
    • Milobedzki, P.1
  • 28
    • 0034553486 scopus 로고    scopus 로고
    • Predictability in international asset returns: A reexamination
    • Nelly C.J., and Weller P. Predictability in international asset returns: A reexamination. Journal of Financial and Quantitative Analysis 35 4 (2000) 602-620
    • (2000) Journal of Financial and Quantitative Analysis , vol.35 , Issue.4 , pp. 602-620
    • Nelly, C.J.1    Weller, P.2
  • 29
    • 84979435949 scopus 로고
    • Forecasting stock returns. An examination of stock market trading in the presence of transaction costs
    • Pesaran M.H., and Timmermann A. Forecasting stock returns. An examination of stock market trading in the presence of transaction costs. Journal of Forecasting 13 (1994) 330-365
    • (1994) Journal of Forecasting , vol.13 , pp. 330-365
    • Pesaran, M.H.1    Timmermann, A.2
  • 30
    • 84993877356 scopus 로고
    • The robustness and economic significance of predictability of stock returns
    • Pesaran M.H., and Timmermann A. The robustness and economic significance of predictability of stock returns. Journal of Finance 50 (1995) 1201-1228
    • (1995) Journal of Finance , vol.50 , pp. 1201-1228
    • Pesaran, M.H.1    Timmermann, A.2
  • 31
    • 0033963895 scopus 로고    scopus 로고
    • Recursive modelling approach to predicting UK stock returns
    • Pesaran M.H., and Timmermann A. Recursive modelling approach to predicting UK stock returns. Economic Journal 110 (2000) 159-191
    • (2000) Economic Journal , vol.110 , pp. 159-191
    • Pesaran, M.H.1    Timmermann, A.2
  • 33
    • 0012584954 scopus 로고    scopus 로고
    • Local return factors and turnover in emerging stock markets
    • Rouwenhorst K.G. Local return factors and turnover in emerging stock markets. Journal of Finance 54 4 (1999) 1439-1464
    • (1999) Journal of Finance , vol.54 , Issue.4 , pp. 1439-1464
    • Rouwenhorst, K.G.1
  • 34
    • 33644635072 scopus 로고
    • Why not diversify internationally rather than domestically?
    • Solnik B.H. Why not diversify internationally rather than domestically?. Financial Analyst Journal 51 1 (1995) 89-94
    • (1995) Financial Analyst Journal , vol.51 , Issue.1 , pp. 89-94
    • Solnik, B.H.1
  • 35
    • 84993825396 scopus 로고
    • Test of random walk and market efficiency for Latin American emerging equity markets
    • Urrutia J.L. Test of random walk and market efficiency for Latin American emerging equity markets. Journal of Financial Research 18 Fall, 3 (1995) 299-310
    • (1995) Journal of Financial Research , vol.18 , Issue.3 , pp. 299-310
    • Urrutia, J.L.1
  • 38
    • 0000243355 scopus 로고
    • Learning in artificial neural networks: A statistical perspective
    • White H. Learning in artificial neural networks: A statistical perspective. Neural Computation 1 (1989) 425-464
    • (1989) Neural Computation , vol.1 , pp. 425-464
    • White, H.1
  • 39


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.