On the forecastability of Asean-5 stock markets returns using time series models

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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...

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Bibliographic Details
Main Authors:	Venus, Khim-Sen Liew, Lim, Kian−Ping, Choong, Chee-Keong
Format:	Working Paper
Language:	English
Published:	University Library of Munich, Germany. 2003
Subjects:	HF Commerce HG Finance
Online Access:	http://ir.unimas.my/id/eprint/224/ http://ir.unimas.my/id/eprint/224/1/On_the_forecastability_of_Asean_5.pdf

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