Do interrelated financial markets help in forecasting stock returns?
- Autores: Antonio García Ferrer, Pilar Poncela Blanco, Marcos Bujosa Brun
- Localización: Cuadernos de economía: Spanish Journal of Economics and Finance, ISSN 0210-0266, ISSN-e 2340-6704, Vol. 26, Nº. 71, 2003, págs. 83-103
- Idioma: inglés
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Resumen
The interest in studying the interrelationships among financia! markets is c!ear, specially for banks and financial institutions. Nevertheless there are not conclusive studies on this respect. In this paper we analyze the predictive power of the obvious random walk model for stock prices when compared with other univariate and multivariate alternatives that exploit the presence of common stochastic trends in the data. We address several issues: First, can we find one (or more) common growth factors that help us in improving the forecast accuracy of the stock price indexes? And second, within the family of unobserved components models, is there any one particularly specification for the trend well suited for explaining and forecasting financial stock market data?
