Do average higher moments predict aggregate returns in emerging stock markets?
Purpose It has been demonstrated in the US market that expected market excess returns can be predicted using the average higher-order moments of all firms. This study aims to empirically test this theory in emerging markets. Design/methodology/ap...
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University of Economics Ho Chi Minh City
2023
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| Truy cập trực tuyến: | https://www.emerald.com/insight/content/doi/10.1108/JABES-08-2021-0140/full/html http://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/115467 |
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oai:scholar.dlu.edu.vn:DLU123456789-1154672023-03-08T03:56:19Z Do average higher moments predict aggregate returns in emerging stock markets? Chamadia, Sumaira Rehman, Mobeen Ur Kashif, Muhammad Purpose It has been demonstrated in the US market that expected market excess returns can be predicted using the average higher-order moments of all firms. This study aims to empirically test this theory in emerging markets. Design/methodology/approach Two measures of average higher moments have been used (equal-weighted and value-weighted) along with the market moments to predict subsequent aggregate excess returns using the linear as well as the quantile regression model. Findings The authors report that both equal-weighted skewness and kurtosis significantly predict subsequent market returns in two countries, while value-weighted average skewness and kurtosis are significant in predicting returns in four out of nine sample markets. The results for quantile regression show that the relationship between the risk variable and aggregate returns varies along the spectrum of conditional quantiles. Originality/value This is the first study that investigates the impact of third and fourth higher-order average realized moments on the predictability of subsequent aggregate excess returns in the MSCI Asian emerging stock markets. This study is also the first to analyze the sensitivity of future market returns over various quantiles. 2023-03-08T03:56:19Z 2023-03-08T03:56:19Z 2022 Article 2515-964X https://www.emerald.com/insight/content/doi/10.1108/JABES-08-2021-0140/full/html http://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/115467 10.1108/JABES-08-2021-0140 en Journal of Asian Business and Economic Studies, Volume 29, Issue 2; p. 120-145 application/pdf University of Economics Ho Chi Minh City |
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Thư viện Trường Đại học Đà Lạt |
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Thư viện số |
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English |
| description |
Purpose It has been demonstrated in the US market that expected market excess returns can be predicted using the average higher-order moments of all firms. This study aims to empirically test this theory in emerging markets. Design/methodology/approach Two measures of average higher moments have been used (equal-weighted and value-weighted) along with the market moments to predict subsequent aggregate excess returns using the linear as well as the quantile regression model. Findings The authors report that both equal-weighted skewness and kurtosis significantly predict subsequent market returns in two countries, while value-weighted average skewness and kurtosis are significant in predicting returns in four out of nine sample markets. The results for quantile regression show that the relationship between the risk variable and aggregate returns varies along the spectrum of conditional quantiles. Originality/value This is the first study that investigates the impact of third and fourth higher-order average realized moments on the predictability of subsequent aggregate excess returns in the MSCI Asian emerging stock markets. This study is also the first to analyze the sensitivity of future market returns over various quantiles. |
| format |
Article |
| author |
Chamadia, Sumaira Rehman, Mobeen Ur Kashif, Muhammad |
| spellingShingle |
Chamadia, Sumaira Rehman, Mobeen Ur Kashif, Muhammad Do average higher moments predict aggregate returns in emerging stock markets? |
| author_facet |
Chamadia, Sumaira Rehman, Mobeen Ur Kashif, Muhammad |
| author_sort |
Chamadia, Sumaira |
| title |
Do average higher moments predict aggregate returns in emerging stock markets? |
| title_short |
Do average higher moments predict aggregate returns in emerging stock markets? |
| title_full |
Do average higher moments predict aggregate returns in emerging stock markets? |
| title_fullStr |
Do average higher moments predict aggregate returns in emerging stock markets? |
| title_full_unstemmed |
Do average higher moments predict aggregate returns in emerging stock markets? |
| title_sort |
do average higher moments predict aggregate returns in emerging stock markets? |
| publisher |
University of Economics Ho Chi Minh City |
| publishDate |
2023 |
| url |
https://www.emerald.com/insight/content/doi/10.1108/JABES-08-2021-0140/full/html http://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/115467 |
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