This study examines predicability and volatility in three major stock markets, (the US, UK, and Japan) using the Vector Autoregressive Approach and the Multivariate Autoregressive Conditional Heteroskedastic‐in‐mean (ARCH‐M) approach. We find that in the three markets: a) stock returns are predictable, and b) there is persistence in the variance of stock returns, and c) predictability and persistence are attributed to common sources of information.
Tsoukalas, D. (2000), "An Autoregressive Heteroskedastic in the Mean (ARCH‐M) Analysis of International Stock Market Indexes", Managerial Finance, Vol. 26 No. 12, pp. 46-56. https://doi.org/10.1108/03074350010767043Download as .RIS
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