On the forecastability of Asean-5 stock markets returns using time series models
This study examines the forecastability of ASEAN-5 stock market returns using linear and non-linear time series models. Time series models with GARCH errors are also considered. Based on formal econometrics tests, this study shows that the behaviour of these returns do not follow random walk movemen...
| Main Authors: | , , |
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| Format: | Working Paper |
| Language: | English |
| Published: |
University Library of Munich, Germany.
2003
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| Subjects: | |
| Online Access: | http://ir.unimas.my/id/eprint/224/ http://ir.unimas.my/id/eprint/224/1/On_the_forecastability_of_Asean_5.pdf |