کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5107337 1481792 2017 36 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Does country risks predict stock returns and volatility? Evidence from a nonparametric approach
ترجمه فارسی عنوان
آیا کشور خطرات بازده سهام و نوسانات را پیش بینی می کند؟ شواهد از روش غیر پارامتری
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری کسب و کار و مدیریت بین المللی
چکیده انگلیسی
We use the k-th order nonparametric causality test at monthly frequency over the period of 1984:1-2015:12 to analyze whether aggregate country risk, and its components (economic, financial and political) can predict movements in stock returns and volatility of eighty-three developed and developing economies. The nonparametric approach controls for the existing misspecification of a linear framework of causality, and hence, the weak evidence of causality obtained under the standard Granger tests cannot be relied upon. When we apply the nonparametric test, we find that, while there is no evidence of predictability of squared stock returns barring one case, at times, there are nearly 50 percent of the countries where the aggregate risks and its components tend to predict stock returns and realized volatility.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Research in International Business and Finance - Volume 42, December 2017, Pages 1173-1195
نویسندگان
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