The impact of information timeliness on the predictability of stock and futures returns: An application of vector models

Ralf Ostermark; Hannu Hernesniemi

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The impact of information timeliness on the predictability of stock and futures returns: An application of vector models

机译：信息及时性对股票和期货收益的可预测性的影响：矢量模型的应用

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The objective of this study is to measure the influence of the freshness of information on the ability of an investor to forecast a stock index and the stock index future. The study uses data on the Finnish FOX index, depicting price movements of the Helsinki Stock Exchange, and the FOX futures index. We generate a set of representative VARMAX-models and retain the one that minimizes a weighted sum of Akaike's AIC-criterion and the SR-criterion of Schwartz-Rissanen.

机译：这项研究的目的是衡量信息新鲜度对投资者预测股指和股指未来的能力的影响。该研究使用了芬兰FOX指数的数据，该数据描述了赫尔辛基证券交易所的价格走势以及FOX期货指数。我们生成了一组代表性的VARMAX模型，并保留了这些模型，以最小化Akaike的AIC标准和Schwartz-Rissanen的SR标准的加权总和。

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《European Journal of Operational Research》 |1995年第1期|共21页
作者
Ralf Ostermark; Hannu Hernesniemi;
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正文语种 eng
中图分类运筹学;
关键词
Stock index and index futures forecasting; VARMAX;

机译：股指和指数期货预测;VARMAX;

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专利

1. The impact of information timeliness on the predictability of stock and futures returns: An application of vector models [J] . Ralf Ostermark, Hannu Hernesniemi European Journal of Operational Research . 1995,第1期

机译：信息及时性对股票和期货收益的可预测性的影响：矢量模型的应用
2. Index Futures and Predictability of the Underlying Stocks' Returns: The Case of the Nikkei 225 [J] . Shinhua Liu Journal of financial services research . 2008,第1期

机译：指数期货和相关股票收益的可预测性：日经225指数
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. Vector-valued multiple regression model with time varying coefficients and its application to predict excess stock returns [C] . Kawasaki, Y., Sato, . 2000

机译：具有时变系数的向量值多元回归模型及其在预测超额股票收益中的应用
5. Modeling heavy -tailed returns in emerging markets: With an application to the Taiwan Stock Index and its futures [D] . Liu, Wei-han 2002

机译：对新兴市场的重尾收益建模：在台湾股票指数及其期货中的应用
6. Asymmetric impact of oil prices on stock returns in Shanghai stock exchange: Evidence from asymmetric ARDL model [O] . Muhammad Kamran Khan, Jian-Zhou Teng, Muhammad Imran Khan -1

机译：油价对上海证券交易所股票收益的不对称影响：来自非对称ARDL模型的证据
7. Stock Return Autocorrelations and Predictability in the Chinese Stock Market —Evidence from Threshold Quantile Autoregressive Models [O] . Xue Wen-Jun, Zhang Li-Wen 2016

机译：中国股市的股票收益自相关与可预测性 - 来自阈值分位数自回归模型的证据

The impact of information timeliness on the predictability of stock and futures returns: An application of vector models

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