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 |
| _version_ | 1848834500204691456 |
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| author | Venus, Khim-Sen Liew Lim, Kian−Ping Choong, Chee-Keong |
| author_facet | Venus, Khim-Sen Liew Lim, Kian−Ping Choong, Chee-Keong |
| author_sort | Venus, Khim-Sen Liew |
| building | UNIMAS Institutional Repository |
| collection | Online Access |
| description | 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 movement. Results of this study also reveal that all the estimated time series models, both linear and non-linear, have smaller out-of-sample forecast errors than the random walk model. These two findings robustly indicate that returns of ASEAN-5 stock markets do not follow random walk movement and are forecastable. Thus, this study can be taken as providing justification for the work of technical analysts. |
| first_indexed | 2025-11-15T05:52:58Z |
| format | Working Paper |
| id | unimas-224 |
| institution | Universiti Malaysia Sarawak |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T05:52:58Z |
| publishDate | 2003 |
| publisher | University Library of Munich, Germany. |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | unimas-2242021-08-11T11:05:48Z http://ir.unimas.my/id/eprint/224/ On the forecastability of Asean-5 stock markets returns using time series models Venus, Khim-Sen Liew Lim, Kian−Ping Choong, Chee-Keong HF Commerce HG Finance 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 movement. Results of this study also reveal that all the estimated time series models, both linear and non-linear, have smaller out-of-sample forecast errors than the random walk model. These two findings robustly indicate that returns of ASEAN-5 stock markets do not follow random walk movement and are forecastable. Thus, this study can be taken as providing justification for the work of technical analysts. University Library of Munich, Germany. 2003-12-05 Working Paper NonPeerReviewed text en http://ir.unimas.my/id/eprint/224/1/On_the_forecastability_of_Asean_5.pdf Venus, Khim-Sen Liew and Lim, Kian−Ping and Choong, Chee-Keong (2003) On the forecastability of Asean-5 stock markets returns using time series models. [Working Paper] |
| spellingShingle | HF Commerce HG Finance Venus, Khim-Sen Liew Lim, Kian−Ping Choong, Chee-Keong On the forecastability of Asean-5 stock markets returns using time series models |
| title | On the forecastability of Asean-5 stock markets returns using time series models |
| title_full | On the forecastability of Asean-5 stock markets returns using time series models |
| title_fullStr | On the forecastability of Asean-5 stock markets returns using time series models |
| title_full_unstemmed | On the forecastability of Asean-5 stock markets returns using time series models |
| title_short | On the forecastability of Asean-5 stock markets returns using time series models |
| title_sort | on the forecastability of asean-5 stock markets returns using time series models |
| topic | HF Commerce HG Finance |
| url | http://ir.unimas.my/id/eprint/224/ http://ir.unimas.my/id/eprint/224/1/On_the_forecastability_of_Asean_5.pdf |