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

页码：261 / 272

页数：12

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