The predictive power of the yield spread in timing the stock market

被引：6
|
作者：
Bhaduri, Saumitra [1 ]
Saraogi, Ravi [1 ]
机构：
[1] Madras Sch Econ, Madras, Tamil Nadu, India
来源：
EMERGING MARKETS REVIEW | 2010年 / 11卷 / 03期
关键词：
Yield spread; Stock returns; Market timing; India; TERM STRUCTURE; CONDITIONING INFORMATION; BUSINESS-CYCLE; TIME;
D O I：
10.1016/j.ememar.2010.03.001
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This study examines the relationship between yield spread and stock market returns. It also explores a dynamic trading strategy of timing the Indian stock market using the yield spread as an indicator variable. The study concludes with the important result that the yield spread is successful in identifying points of entry and exit for the Indian stock market, thereby delivering superior returns compared to a conventional buy and hold strategy. (C) 2010 Elsevier B.V. All rights reserved.
引用
收藏
页码：261 / 272
页数：12
相关论文
共 50 条
  • [31] Does managerial market timing with stock repurchases exist in stock market? Evidence from Thailand
    Kumpamool, Chamaiporn
    INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2024, 96
  • [32] On the predictive power of CAPE or Shiller’s PE ratio: the case of the Greek stock market
    Dimitrios Kenourgios
    Spyros Papathanasiou
    Anastasia Christina Bampili
    Operational Research, 2022, 22 : 3747 - 3766
  • [33] Product market power and stock market liquidity
    Kale, Jayant R.
    Loon, Yee Cheng
    JOURNAL OF FINANCIAL MARKETS, 2011, 14 (02) : 376 - 410
  • [34] On the predictive power of CAPE or Shiller's PE ratio: the case of the Greek stock market
    Kenourgios, Dimitrios
    Papathanasiou, Spyros
    Bampili, Anastasia Christina
    OPERATIONAL RESEARCH, 2022, 22 (04) : 3747 - 3766
  • [35] Volatility spread and stock market response to earnings announcements
    Lei, Qin
    Wang, Xuewu Wesley
    Yan, Zhipeng
    JOURNAL OF BANKING & FINANCE, 2020, 119
  • [36] An Analysis of the Stock Market Volatility Spread in Emerging Countries
    Akkaya, Murat
    ISTANBUL BUSINESS RESEARCH, 2021, 50 (02): : 215 - 233
  • [37] MARKET TIMING AND MODEL UNCERTAINTY: AN EXPLORATORY STUDY FOR THE SWISS STOCK MARKET
    Rey, David
    FINANCIAL MARKETS AND PORTFOLIO MANAGEMENT, 2005, 19 (03) : 239 - 260
  • [38] Improving market timing of time series momentum in the Chinese stock market
    Qin, Yafeng
    Pan, Guoyao
    Bai, Min
    APPLIED ECONOMICS, 2020, 52 (43) : 4711 - 4725
  • [39] Market Timing And Model Uncertainty: An Exploratory Study For The Swiss Stock Market
    David Rey
    Financial Markets and Portfolio Management, 2005, 19 (3): : 239 - 260
  • [40] Canadian stock market multiples and their predictive content
    Deaves, Richard
    Miu, Peter
    White, C. Barry
    INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2008, 17 (03) : 457 - 466
12345