What drives stock markets over short horizons? Evidence from emerging markets

Narayan, Paresh Kumar 2011, What drives stock markets over short horizons? Evidence from emerging markets, Quantitative finance, vol. 11, no. 2, Special Issue : Global Equity Markets, pp. 261-269, doi: 10.1080/14697680903460127 Downloaded.

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Title What drives stock markets over short horizons? Evidence from emerging markets
Author(s) Narayan, Paresh Kumar
Journal name Quantitative finance
Volume number 11
Issue number 2
Season Special Issue : Global Equity Markets
Start page 261
End page 269
Total pages 9
Publisher Routledge
Place of publication Abingdon, England
Publication date 2011-02
ISSN 1469-7688
Keyword(s) Advanced econometrics
Applied econometrics
Applied finance
Summary The goal of this paper is to examine the importance of permanent and transitory shocks in explaining variations in stock prices for Singapore, Taiwan, and South Korea using a trend-cycle decomposition technique. This study is novel in that in measuring the impact of shocks we not only impose common trend restrictions but also common cycle restrictions. We later undertake a post-sample forecasting exercise to confirm the efficiency gains from imposing common cycle restrictions. We find that over short horizons, transitory shocks are the dominant source of variations in stock prices for South Korea, while permanent shocks explain the bulk of the variations in stock price of Singapore and Taiwan.
Language eng
DOI 10.1080/14697680903460127 Downloaded
Field of Research 150202 Financial Econometrics
Socio Economic Objective 910109 Savings and Investments
HERDC Research category C1 Refereed article in a scholarly journal
Copyright notice ©2011, Taylor & Francis
Persistent URL http://hdl.handle.net/10536/DRO/DU:30042162

Document type: Journal Article
Collections: Faculty of Business and Law
School of Accounting, Economics and Finance
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