dc.contributor.author |
Bekiros, Stelios
|
|
dc.contributor.author |
Gupta, Rangan
|
|
dc.contributor.author |
Kyei, Clement Kweku
|
|
dc.date.accessioned |
2016-03-15T11:16:49Z |
|
dc.date.issued |
2016-04 |
|
dc.description.abstract |
This paper uses a k-th order nonparametric Granger causality test to analyze whether firmlevel,
economic policy and macroeconomic uncertainty indicators predict movements in real stock
returns and their volatility. Linear Granger causality tests show that whilst economic policy and
macroeconomic uncertainty indices can predict stock returns, firm-level uncertainty measures
possess no predictability. However, given the existence of structural breaks and inherent
nonlinearities in the series, we employ a nonparametric causality methodology, since the linear
model is misspecified and the results emanating from it cannot be considered reliable. The
nonparametric test reveals that, in fact, there is in general no predictability from the various
measures of uncertainties, i.e., firm-level, macroeconomic, and economic policy uncertainty, for
real stock returns. In turn, the predictability is concentrated in the volatility of real stock returns,
except under the case of firm-level uncertainty. Thus, our results not only emphasize the role of
economic and firm-level uncertainty measures in predicting volatility of stock returns, but also
presage against using linear models which are likely to suffer from misspecification in the presence
of parameter instability and nonlinear spillover effects. |
en_ZA |
dc.description.embargo |
2017-04-30 |
|
dc.description.librarian |
hb2015 |
en_ZA |
dc.description.uri |
http://www.journals.elsevier.com/the-north-american-journal-of-economics-and-finance |
en_ZA |
dc.identifier.citation |
Bekiros, S, Gupta, R & Kyei, C 2016, 'On economic uncertainty, stock market predictability and nonlinear spillover effects', North American Journal of Economics and Finance, vol. 36, pp. 184-191. |
en_ZA |
dc.identifier.issn |
1062-9408 (print) |
|
dc.identifier.issn |
1879-0860 (online) |
|
dc.identifier.other |
10.1016/j.najef.2016.01.003 |
|
dc.identifier.uri |
http://hdl.handle.net/2263/51880 |
|
dc.language.iso |
en |
en_ZA |
dc.publisher |
Elsevier |
en_ZA |
dc.rights |
© 2016 Elsevier Inc. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in North American Journal of Economics and Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in North American Journal of Economics and Finance, vol. 36, pp. 184-191, 2016. doi : 10.1016/j.najef.2016.01.003. |
en_ZA |
dc.subject |
Economic policy |
en_ZA |
dc.subject |
Stock markets |
en_ZA |
dc.subject |
Nonlinear causality |
en_ZA |
dc.title |
On economic uncertainty, stock market predictability and nonlinear spillover effects |
en_ZA |
dc.type |
Postprint Article |
en_ZA |