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Information diffusion and the predictability of New Zealand stock market returns

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journal contribution
posted on 12.05.2022, 04:14 by Hai LinHai Lin, D Quill
This paper examines the impact of international predictors from liquid markets on the predictability of excess returns in the New Zealand stock market using data from May 1992 to February 2011. We find that US stock market return and VIX contribute significantly to the out-of-sample forecasts at short horizons even after controlling for the effect of local predictors, while the contribution by Australian stock market return is not significant. We further demonstrate that the predictability of New Zealand stock market returns using US market predictors could be explained by the information diffusion between these two countries.

History

Preferred citation

Lin, H. & Quill, D. (2016). Information diffusion and the predictability of New Zealand stock market returns. Accounting and Finance, 56(3), 749-785. https://doi.org/10.1111/acfi.12091

Journal title

Accounting and Finance

Volume

56

Issue

3

Publication date

01/09/2016

Pagination

749-785

Publisher

Wiley

Publication status

Published

Contribution type

Article

Online publication date

17/09/2014

ISSN

0810-5391

eISSN

1467-629X

Language

en