Relative forecasting performance of stock return for real activity in emerging markets of ASEAN countries

This study has given a focus on the forecasting ability of stock market return for real GDP using stock market indicators. The forecasting ability of various financial variables particularly stock market variables for real economic activity is highly important since it signals whether policy makers...

Full description

Saved in:

Bibliographic Details
Main Author:	Lim, Yin Ping
Format:	Thesis
Language:	English
Published:	2012
Subjects:	Stock exchanges - Southeast Asia Capital market - Southeast Asia Gross domestic product - Southeast Asia
Online Access:	http://psasir.upm.edu.my/id/eprint/39213/1/FEP%202012%2012R.pdf
Tags:	Add Tag No Tags, Be the first to tag this record!

id	my-upm-ir.39213
record_format	uketd_dc
spelling	my-upm-ir.392132015-06-23T06:41:56Z Relative forecasting performance of stock return for real activity in emerging markets of ASEAN countries 2012-12 Lim, Yin Ping This study has given a focus on the forecasting ability of stock market return for real GDP using stock market indicators. The forecasting ability of various financial variables particularly stock market variables for real economic activity is highly important since it signals whether policy makers should respond to changes in stock market returns. The present study is limited to the ASEAN-5 countries, as they are closely integrated and in addition it is the region that deserves more attention. In the analysis, a comparison is made between stock returns and other potential predictive variables in their ability to predict future variation in GDP. These potential predictive variables include interest rate,exchange rate, money supply and US GDP. From many forecasting methods, the out-of-sample rolling regression has been adopted to examine the forecasts over 1-, 2-, 4-, and 8-quaters ahead. Eveiws 7.0TM was employed for running the simulation and obtaining the results. The results showed that the stock returns serve as the best predictor, as it improves the forecast accuracy by up to 44%, meaning that there is a 44% reduction in the forecasting error, for the case of 2-quarter ahead GDP growth forecast in Malaysia. In addition, stock returns played as important role in GDP forecast for Singapore as it reduce the forecast error at most by 38%, Thailand by 18% and Indonesia by 7% in the 1-quarter ahead forecast, while the Philippines getting 8% forecast error reduction in the 4 quarter-ahead forecast. Stock exchanges - Southeast Asia Capital market - Southeast Asia Gross domestic product - Southeast Asia 2012-12 Thesis http://psasir.upm.edu.my/id/eprint/39213/ http://psasir.upm.edu.my/id/eprint/39213/1/FEP%202012%2012R.pdf application/pdf en public masters Universiti Putra Malaysia Stock exchanges - Southeast Asia Capital market - Southeast Asia Gross domestic product - Southeast Asia
institution	Universiti Putra Malaysia
collection	PSAS Institutional Repository
language	English
topic	Stock exchanges - Southeast Asia Capital market - Southeast Asia Gross domestic product - Southeast Asia
spellingShingle	Stock exchanges - Southeast Asia Capital market - Southeast Asia Gross domestic product - Southeast Asia Lim, Yin Ping Relative forecasting performance of stock return for real activity in emerging markets of ASEAN countries
description	This study has given a focus on the forecasting ability of stock market return for real GDP using stock market indicators. The forecasting ability of various financial variables particularly stock market variables for real economic activity is highly important since it signals whether policy makers should respond to changes in stock market returns. The present study is limited to the ASEAN-5 countries, as they are closely integrated and in addition it is the region that deserves more attention. In the analysis, a comparison is made between stock returns and other potential predictive variables in their ability to predict future variation in GDP. These potential predictive variables include interest rate,exchange rate, money supply and US GDP. From many forecasting methods, the out-of-sample rolling regression has been adopted to examine the forecasts over 1-, 2-, 4-, and 8-quaters ahead. Eveiws 7.0TM was employed for running the simulation and obtaining the results. The results showed that the stock returns serve as the best predictor, as it improves the forecast accuracy by up to 44%, meaning that there is a 44% reduction in the forecasting error, for the case of 2-quarter ahead GDP growth forecast in Malaysia. In addition, stock returns played as important role in GDP forecast for Singapore as it reduce the forecast error at most by 38%, Thailand by 18% and Indonesia by 7% in the 1-quarter ahead forecast, while the Philippines getting 8% forecast error reduction in the 4 quarter-ahead forecast.
format	Thesis
qualification_level	Master's degree
author	Lim, Yin Ping
author_facet	Lim, Yin Ping
author_sort	Lim, Yin Ping
title	Relative forecasting performance of stock return for real activity in emerging markets of ASEAN countries
title_short	Relative forecasting performance of stock return for real activity in emerging markets of ASEAN countries
title_full	Relative forecasting performance of stock return for real activity in emerging markets of ASEAN countries
title_fullStr	Relative forecasting performance of stock return for real activity in emerging markets of ASEAN countries
title_full_unstemmed	Relative forecasting performance of stock return for real activity in emerging markets of ASEAN countries
title_sort	relative forecasting performance of stock return for real activity in emerging markets of asean countries
granting_institution	Universiti Putra Malaysia
publishDate	2012
url	http://psasir.upm.edu.my/id/eprint/39213/1/FEP%202012%2012R.pdf
_version_	1747811776262569984

Relative forecasting performance of stock return for real activity in emerging markets of ASEAN countries

Similar Items