Testing for Predictability in Equity Returns for European Transition Markets
Posted: 11 Apr 2006
This paper presents empirical evidence of short and long-run predictability in stock returns for European transition economies. We employ Variance Ratios with a bootstrap methodology to test for short-run predictability, which is present in most countries. We also estimate Hurst exponents to test for long-range dependence, and find evidence of such. Furthermore, we find evidence of strong time-varying long range dependence in these economies stock returns, which is in line with evidence of multifractality of equity returns.
Keywords: European transition economies, Hurst exponents, Long memory, Predictability, Variance ratio, Multifractality
JEL Classification: G14, G15
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