Information diffusion and the predictability of New Zealand stock market returns
journal contributionposted on 12.05.2022, 04:14 authored 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.
Preferred citationLin, 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 titleAccounting and Finance
Online publication date17/09/2014
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Social SciencesBusiness, FinanceBusiness & EconomicsInformation diffusionInternational predictorsLiquidityOut-of-sampleStock return predictabilityEQUITY PREMIUM PREDICTIONBOOK-TO-MARKETDIVIDEND YIELDSECONOMIC-SIGNIFICANCEEXPECTED RETURNSTERM STRUCTUREINDEX RETURNSSAMPLEINFLATIONRATIOSOut‐of‐sampleAccounting