CAN INDUSTRY RETURNS PREDICT COUNTRY INDICES? EVIDENCE FROM EMERGING MARKETS

被引：0

作者：

Guo, Yan ^{[1
]}

Qu, Wenzhou ^{[2
]}

Wongchoti, Udomsak ^{[1
]}

Wu, Fei ^{[3
]}

机构：

[1] Massey Univ, Sch Econ & Finance, Palmerston North, New Zealand

[2] Xiamen Univ, Dept Finance, Xiamen, Peoples R China

[3] Jiangxi Univ Finance & Econ, Sch Finance & Stat, Nanchang, Peoples R China

来源：

ACTUAL PROBLEMS OF ECONOMICS | 2011年 / 121期

关键词：

stock returns; industry sectors; lead-lag effect; industry concentration; emerging markets; DOMESTIC INVESTORS; FOREIGN INVESTORS; STOCK MARKETS; INFORMATION; BEHAVIOR; EQUITY;

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper analyzes whether industry returns can predict country indices in a less informative environment. In comparison to the developed markets (see, e.g., Hong, Torous, and Valkanov (2007)), monthly returns of fewer industries in 7 Asian emerging markets provide a significant leading indicator of market returns in the subsequent periods. However, such relationship cannot be linked to economic fundamentals and tends to cluster in concentrated industries, consistent with the view that emerging capital markets are less informative, less diversified in the scope of industries, and more prone to behavioral bias.

引用

页码：355 / 366

页数：12

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