Dynamic return predictability in the Russian stock market

Jyri Kinnunen

首页> 外文期刊>Emerging markets review >Dynamic return predictability in the Russian stock market

【24h】

Dynamic return predictability in the Russian stock market

机译：俄罗斯股市的动态回报可预测性

获取原文

获取原文并翻译 | 示例

掌桥外文数据库（机构版） >>

开具论文收录证明 >>

文献代查 >>

页面导航

摘要
著录项
相似文献
相关主题

摘要

This paper explores whether the relevance of a conditional multifac-tor model and autocorrelation in predicting the Russian aggregate stock return fluctuates over time. The source of return predictability is shown to vary considerably with information flow. In general, predictability of the Russian stock market return is at a high level. Autocorrelation increases during periods of low information flow. During periods of high information, conditional exposure to the local market risk and changes in oil price influence the expected return on the Russian stock market. The lagged global stock market factor and currency returns have insignificant influence.

机译：本文探讨了条件多因素模型和自相关在预测俄罗斯总股票收益率中的相关性是否随时间波动。回报可预测性的来源显示随着信息流的不同而有很大差异。一般而言，俄罗斯股市收益的可预测性处于较高水平。在信息流较少的时期，自相关会增加。在信息丰富的时期，有条件地承受当地市场风险以及石油价格的变化会影响俄罗斯股票市场的预期收益。滞后的全球股票市场因素和货币收益影响不大。

著录项

来源
《Emerging markets review》 |2013年第6期|107-121|共15页
作者
Jyri Kinnunen;
展开▼
作者单位

School of Business, Lappeenranta University of Technology, P.O. Box 20, FI-53851 Lappeenranta, Finland;

展开▼
收录信息
原文格式 PDF
正文语种 eng
中图分类
关键词
Predictability; Autocorrelation; Volatility; Trading volume; Risk-return trade-off; Russia;

机译：可预测性;自相关;挥发性;交易量;风险收益权衡;俄国;

相似文献

外文文献
中文文献
专利

1. The Dynamic Industry Return Predictability: Evidence from Chinese Stock Markets [J] . Zhang Wenlong, Zhang Yanying, Zhang Gaiyan, Emerging Markets Finance & Trade . 2020,第7a9期

机译：动态行业回归可预测性：来自中国股市的证据
2. Efficient predictability of stock return volatility: The role of stock market implied volatility [J] . Dai Zhifeng, Zhou Huiting, Wen Fenghua, The North American journal of economics and finance . 2020,第Apra期

机译：有效的股票回报波动性可预测性：股市暗示波动的作用
3. Stock return autocorrelations and predictability in the Chinese stock market-Evidence from threshold quantile autoregressive models [J] . Xue Wen-Jun, Zhang Li-Wen Economic modelling . 2017,第jana期

机译：中国股市的股票收益自相关和可预测性-来自阈值分位数自回归模型的证据
4. Dynamic Relatedness Analysis of the Exchange Rate and the Stock Market Returns' Volatility with a Factor of U.S. Stock Market Returns: An Evidence Study of Thailand Country [C] . Wann-Jyi Horng, Weir-Sen Lin, Ching-Huei Chen International Conference on Internet Technology and Applications . 2010

机译：汇率和股市的动态相关性分析与美国股票市场返回的因素返回波动率：泰国国家的证据研究
5. Which of Stock Returns or Dividend Growth is Predictable? A Defense of Stock Return Predictability [D] . Park, Miae 2018

机译：哪个股票收益率或股息增长是可预测的？股票收益可预测性的辩护
6. Stock returns predictability and the adaptive market hypothesis in emerging markets: evidence from India [O] . Gourishankar S Hiremath, Jyoti Kumari -1

机译：新兴市场中股票收益的可预测性和适应性市场假设：来自印度的证据
7. Do Stock Markets Catch the Flu? We examine the impact of influenza on the U.S. stock market. A higher incidence of flu is associated with decreased trading, decreased volatility, and higher bid-ask spreads. We also find some evidence that more flu implies lower stock returns. Consistent with the flu affecting institutional investors and market-makers, the decrease in trading activity and volatility is primarily driven by the incidence of influenza in the greater New York City area. However, the effect of the flu on bid-ask spreads and returns is driven by the incidence of flu nationally. We provide estimates of the potential impacts of a pandemic on equity returns. [O] . Yiuman Tse, Brian C. McTier, John K. Wald 100

机译：股市是否会引发流感？我们研究了流感对美国股市的影响。流感发病率较高与交易减少，波动性降低和买卖差价较高有关。我们还发现一些证据表明，更多流感意味着股票收益率下降与影响机构投资者和做市商的流感一致，交易活动和波动性的下降主要是由于纽约市大区的流感发病率所致。然而，流感对买卖差价和回报的影响是由全国流感的发生率所驱动的。我们提供了大流行对股权回报的潜在影响的估计。

Dynamic return predictability in the Russian stock market

摘要

著录项

相似文献

相关主题

期刊订阅