Predictability of stock market returns: New evidence from developed and developing countries

Li, Xiyang; Chen, Xiaoyue; Li, Bin; Singh, Tarlok; Shi, Kun

doi:10.1016/j.gfj.2021.100624

Cited by 12 publications

(7 citation statements)

References 66 publications

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“…Societies are changing all over the world [8,9]. In developed countries modifications are observed towards a more consumer focused approach and in developing countries arising wider markets and opportunities for growth [10,11]. Along with these modifications, the patterns of consumption in developed and developing countries are increasing, demanding for more food.…”

Section: Introductionmentioning

confidence: 99%

Environmental Issues as Drivers for Food Choice: Study from a Multinational Framework

et al. 2021

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This work intended to explore some motivations that influence people’s eating habits towards sustainability. This was an observational, cross-sectional study, carried out by questionnaire survey on a non-probabilistic sample of 10,067 participants from 13 countries (Argentina, Brazil, Croatia, Greece, Hungary, Latvia, Lithuania, Poland, Portugal, Serbia, Slovenia, Romania and United States). Results indicated that people prefer fresh local foods from the season, being important because it allows transportation and storage to be reduced, which in many cases implies refrigeration systems and consequent energy expenditure. Although people avoid food waste at home, the awareness for the waste at restaurants still needs to be improved. Consumers seem to prefer foods that have been produced and packed in sustainable ways but still give importance to the package—understandable for food products. The results also indicated significant differences in the food choice motivations between groups for all sociodemographic variables tested (age, sex, marital status, education, professional area, living environment and country), but the association was high only for variable country. Additionally, a tree classification analysis allowed to identify the relative importance of the influential variables on the sustainable food choices, with country being the most important, followed by age and sex. Additionally, discriminant function analysis allowed establishing a model for the relation between country and six variables accounting for preservation of biodiversity, respect for life, save natural resources, save energy, reduce industrial pollution and minimal packaging. Although with some limitations, this study brings valuable insight into some aspects linked with sustainable food choices on a number of countries and how people shape their food choices according to some sustainability issues.

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Section: Introductionmentioning

confidence: 99%

Environmental Issues as Drivers for Food Choice: Study from a Multinational Framework

et al. 2021

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“…As the robustness of this finding in other markets remains questionable (Li et al, 2021), this study extends the US results and investigates the relation between economic uncertainty exposure and individual stock returns in the Australian market. Australia presents a good context to extend this hitherto US-based work.…”

Section: Introductionmentioning

confidence: 87%

Economic uncertainty and Australian stock returns

Chen

Worthington

2021

Accounting & Finance

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Motivated by the purportedly close relation between economic uncertainty and future stock returns in the US, we investigate the predictive role of this potential factor in the Australian stock market. Applying portfolio-sorting strategies based on economic uncertainty exposure measured by individual stock betas, we find that uncertainty betas negatively relate to future stock returns over short-and medium-term trading horizons. Moreover, common asset pricing models, including the capital asset pricing model (CAPM) and the Fama and French three-, five-, and six-factor models, cannot explain these relations. The results remain robust when applying firm-level Fama and MacBeth regressions.

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“…When developing an investment strategy and selecting index or stocks for our portfolio, the association can be a very helpful tool. ere are various algorithms and models available in the literature, for predicting the pattern of financial time series [11][12][13][14]. In the modern era, the most trendy pattern prediction technique is artificial intelligence.…”

Section: Objectivementioning

confidence: 99%

Analyzing the Association between Pattern and Returns Using Goodman–Kruskal Prediction Error Reduction Index (λ)

2022

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For selecting and interpreting appropriate behaviour of proportion between buy/neutral/sell patterns and high/moderate/low returns, the prediction error reduction index is a very useful tool. It is operationally interpretable in terms of the proportional reduction in error of estimation. We first obtain the buy/sell pattern using an Optimal Band. The analysis of the association between patterns and returns is based on the Goodman–Kruskal prediction error reduction index ( λ ). Empirical analysis suggests that the prediction of returns from patterns is more impressive or of less error as compared to the prediction of patterns from returns. We demonstrated the prediction index for Index NIFTY 50, BANK-NIFTY, and NIFTY-IT of NSE (National Stock Exchange), for the period 2010–2020.

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Predictability of stock market returns: New evidence from developed and developing countries

Cited by 12 publications

References 66 publications

Environmental Issues as Drivers for Food Choice: Study from a Multinational Framework

Environmental Issues as Drivers for Food Choice: Study from a Multinational Framework

Economic uncertainty and Australian stock returns

Analyzing the Association between Pattern and Returns Using Goodman–Kruskal Prediction Error Reduction Index (λ)

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