Is the predictability of emerging and developed stock markets really exploitable?

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Show simple item record Moreno, David Olmeda, Ignacio 2010-04-21T16:44:55Z 2010-04-21T16:44:55Z 2007-10
dc.identifier.bibliographicCitation European journal of operational research, October 2007, Vol. 182, No. 1, p. 436-454
dc.identifier.issn 0377-2217
dc.description.abstract A number of recent papers have analyzed the degree of predictability of stock markets. In this paper, we firstly study whether this predictability is really exploitable and secondly, if the economic significance of predictability is higher or lower in the emerging stock markets than in the developed ones. We use a variety of linear and nonlinear – Artificial Neural Networks – models and perform a computationally demanding forecasting experiment to assess the predictability of returns. Since we are interested in comparing the predictability in economic terms we also propose a modification in the nets’ loss function for market trading purposes. In addition, we consider both explicit and implicit trading costs for emerging and developed stock markets. Our conclusions suggest that, in contrast to some previous studies, if we consider total trading costs both the emerging as well as the developed stock returns are clearly nonpredictable. Finally, we find that Artificial Neural Networks do not provide superior performance than the linear models.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.publisher Elsevier
dc.rights ©Elsevier
dc.subject.other Finance
dc.subject.other Forecasting
dc.subject.other Emerging stock markets
dc.subject.other Artificial neural networks
dc.title Is the predictability of emerging and developed stock markets really exploitable?
dc.type article PeerReviewed
dc.description.status Publicado
dc.subject.eciencia Empresa
dc.identifier.doi 10.1016/j.ejor.2006.07.032
dc.rights.accessRights openAccess
dc.identifier.publicationfirstpage 436
dc.identifier.publicationissue 1
dc.identifier.publicationlastpage 454
dc.identifier.publicationtitle European journal of operational research
dc.identifier.publicationvolume 182
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