South African stock return predictability in the context data mining : the role of financial variables and international stock returns

Keywords

Predictive power, Predictability, Econometrics, Stock (firearms), Sample (material)

References

• Exchange Rates and Monetary Fundamentals: What Do We Learn from Long-Horizon Regressions?Lutz Kilian — 1999
• Bubbles in House Prices and their Impact on Consumption: Evidence for the USEfthymios Pavlidis, Iván Payá, David Peel — 2009
• Resurrecting the Wealth Effect on Consumption: Further Analysis and ExtensionNicholas Apergis, Stephen M. Miller — 2006
• Consumption asymmetry and the stock market: New evidence through a threshold adjustment modelNicholas Apergis, Stephen M. Miller — 2005
• Bubbles in South African house prices and their impact on consumptionSonali Das, Rangan Gupta, Patrick T. Kanda — 2010
• Consumption asymmetry and the stock market: Empirical evidenceNicholas Apergis, Stephen M. Miller — 2006
• Asymptotic Inference about Predictive AbilityKenneth D. West — 1996
• Consumption Asymmetry and the Stock Market: Further EvidenceNicholas Apergis, Stephen M. Miller — 2004
• Tests for Forecast EncompassingDavid I. Harvey, Stephen J. Leybourne, Paul Newbold — 1998
• In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?Atsushi Inoue, Lutz Kilian — 2005
• Predictable Stock Returns: The Role of Small Sample BiasCharles R. Nelson, Myung J. Kim — 1993
• Macro variables and international stock return predictabilityDavid E. Rapach, Mark E. Wohar, Jesper Rangvid — 2005
• FORECASTING ECONOMIC TIME SERIESFrank Schorfheide — 2000
• Can Out-of-Sample Forecast Comparisons Help Prevent Overfitting?Todd E. Clark — 2004
• Forecasting Economic Time SeriesStephen J. Taylor — 1979
• Earnings and Expected ReturnsOwen Lamont — 1998
• Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on ConsumptionMartin Lettau, Sydney C. Ludvigson — 2004
• Forecasting Output and Inflation: The Role of Asset PricesJames H. Stock, Mark Watson — 2003
• Tests of Equal Forecast Accuracy and Encompassing for Nested ModelsTodd E. Clark, Michael W. McCracken — 2001
• Stock Return Predictability: Is it There?Andrew Ang, Geert Bekaert — 2001

Cited by

• Essays on determinants spillovers and predictability of the South African stock returnsMampho P. Modise — 2013
• Financial variables and the out-of-sample forecastability of the growth rate of indian industrial productionRangan Gupta, Yuxiang Ye, Christopher M. Sako — 2014
• Stock return predictability in South Africa: The role of major developed marketsYi-Chieh Wen, Philip T. Lin, Bin Li — 2015
• Detecting biotechnology industry's earnings management using Bayesian network, principal component analysis, back propagation neural network, and decision treeFu-Hsiang Chen, Der‐Jang Chi, Yicheng Wang — 2015
• Can Economic Uncertainty, Financial Stress and Consumer Sentiments Predict U.S. Equity Premium?Rangan Gupta, Shawkat Hammoudeh, Mampho P. Modise — 2014
• An ensemble-based model for two-class imbalanced financial problemJui‐Jung Liao, Ching-Hui Shih, Tai-Feng Chen — 2014
• Predicting BRICS stock returns using ARFIMA modelsGoodness C. Aye, Mehmet Balcılar, Rangan Gupta — 2014
• Macroeconomic Variables and South African Stock Return PredictabilityRangan Gupta, Mampho P. Modise — 2013
• Structural breaks and GARCH models of stock return volatility: The case of South AfricaAli Babikir, Rangan Gupta, Chance Mwabutwa — 2010
• Synchronicity in international stock markets: evidence from USA-South AfricaP. Lakshmi, S. Visalakshmi, Kavitha Shanmugam — 2014
• PREDICTING FUTURE STOCK RETURNS AT SHORT AND LONG HORIZONSSulaimon Olalekan Ekundayo — 2015
• Forecasting Stock Market Returns Via Monte Carlo Simulation : The Case of Amman Stock ExchangeDima Waleed Hanna Alrabadi, Nada Ibrahim Abu Aljarayesh — 2015
• Valuation Ratios and Stock Return Predictability in South Africa: Is It There?Rangan Gupta, Mampho P. Modise — 2012
• Does Financial News Predict Stock Returns? New Evidence from Islamic and Non-Islamic StocksParesh Kumar Narayan, Deepa Bannigidadmath — 2017
• International stock return predictability: Is the role of U.S. time-varying?Goodness C. Aye, Mehmet Balcılar, Rangan Gupta — 2015
• Stock return predictability and determinants of predictability and profitsDeepa Bannigidadmath, Paresh Kumar Narayan — 2016
• South African Stock Returns Predictability using Domestic and Global Economic Policy Uncertainty: Evidence from a Nonparametric Causality-in-Quantiles ApproachMehmet Balcılar, Rangan Gupta, Clement Kyei — 2015
• Predicting South African Equity Premium using Domestic and Global Economic Policy Uncertainty Indices: Evidence from a Bayesian Graphical ModelMehmet Balcılar, Rangan Gupta, Mampho P. Modise — 2015
• Evaluating the combined forecasts of the dynamic factor model and the artificial neural network model using linear and nonlinear combining methodsAli Babikir, Henry Mwambi — 2016
• Essays on the Currency Effect on Stock Market Relationships and Stock Return ForecastOlugbenga Akinwunmi Olufeagba — 2016

Related papers

• Heterogeneous Expectations, Exchange Rate Dynamics and PredictabilitySebastiano Manzan, Frank Westerhoff — 2002
• Heterogeneous expectations, exchange rate dynamics and predictabilitySebastiano Manzan, Frank Westerhoff — 2007
• An examination of the stability of short-run Canadian stock predictabilityRyan A. Compton, Syeed Khan — 2010
• On the Short-Term Predictability of Stock Returns: A Quantile Boosting ApproachRıza Demirer, Christian Pierdzioch, Huacheng Zhang — 2016
• On the Out-of-Sample Predictability of Stock Market ReturnsHui Guo — 2002
• Testing the predictability of commodity prices in stock returns: A new perspectiveAfees A. Salisu, Kazeem O. Isah, Ibrahim D. Raheem — 2018
• Are Characteristics Covariances or Characteristics?Lars Hornuf, Christian Fieberg — 2020
• The sensitivity of the one-sample and two-sample student t statisticGeorge C. Canavos — 1988