پیش بینی بازده کوتاه مدت در بازارهای سهام بین المللی

This paper examines the predictability of equity index returns for 18 developed countries. Based on the variance ratio test, the random walk hypothesis can be rejected at conventional significance levels for 11 countries with daily data and for 15 countries with weekly data. Monthly indices may well be characterized as a random walk for the majority of countries. The excess returns from buying past winners and selling past losers are positive and particularly striking for daily data, where they are not only statistically significant but also economically important in the absence of transaction costs. Imposing a reasonable transaction cost substantially reduces the profitability.

Whether security returns are predictable using their past history has been a focal point of research in the empirical finance literature. Tests for predictability have important implications for asset pricing and market efficiency. In an efficient capital market, equity prices reflect currently available information and one should not be able to predict future returns by using historical returns data. Therefore, if returns are predictable, it could imply market inefficiency unless the predictable variation can be reconciled with an equilibrium asset-pricing model. Over the past 2 decades, the extent of international investments has been steadily increasing. Investors (both institutional and individual) now allocate a substantially higher proportion of their financial wealth in international assets than 2 decades ago. However, our knowledge of predictability of security prices has primarily been drawn from studies on the U.S. market. As capital markets become more globally integrated, understanding the behavior of international equity prices is of increasing importance. In this paper, we employ the variance ratio test to investigate whether equity returns exhibit predictable variation for 18 developed countries over the period 1979–1998 and examine the implications of the results for international momentum strategies. The theoretical underpinnings of tests for predictability are based on the idea that security prices follow a random walk, whereby price changes are unpredictable in an efficient market. A number of researchers study the predictability of U.S. equity returns at weekly or monthly horizons. These include, for example, Conrad and Kaul (1988), Lo and MacKinlay, 1988 and Lo and MacKinlay, 1990, Jegadeesh and Titman (1993), and Chan et al. (1996), among others. Other researchers, such as DeBondt and Thaler, 1985 and DeBondt and Thaler, 1987 and Kim et al. (1991), investigate the predictability of long-horizon (often including multiyear) U.S. equity returns. Several researchers also examine the predictability of international equity returns. For example, Poterba and Summers (1988) study equity returns for the U.S. as well as 17 other countries and find positive serial correlation at medium horizons and negative serial correlation over longer horizons, although they cannot statistically reject the random walk hypothesis. Richards (1997) and Balvers et al. (2000) find evidence of mean reversion and return predictability across national equity markets. Chan et al. (2000), Griffin et al. (2003), Bhojraj and Swaminathan (2001), and Rouwenhorst (1998) document the profitability of international momentum investment strategies. The above studies are mainly based on medium- to long-horizon returns. This paper focuses on the predictability of short-horizon returns (daily and weekly). To provide a comparison with previous studies using monthly data as well as with our own results, we also conduct the same tests using monthly returns. Apart from applying known techniques to new data, our paper has several interesting findings, which contributes to the literature on the behavior of international asset prices. Firstly, we examine the predictability of short-horizon returns for 18 developed countries using the variance ratio test, which has not been pursued in previous research. This is a useful complement to the findings of Lo and MacKinlay (1988) for the U.S. We find that for daily equity returns, the null hypothesis of a random walk can be rejected at conventional significance levels in favor of positive serial correlations for 10 countries and in favor of negative serial correlation for one country. The null cannot be rejected for the other seven countries, including the United States. These results provide an interesting comparison to French and Roll (1986), who report that the average daily autocorrelations for all NYSE and AMEX stocks are positive for the first order and negative from the second to the 13th order. French and Roll (1986) employ data from 1963 to 1982, while our sample covers the period 1980 to 1998, almost nonoverlapped with their sample. Our results suggest that the U.S. market may be more efficient in the most recent 2 decades than 2 decades ago. Our findings of positive daily serial correlation for the other 10 countries are in contrast with French and Roll's (1986) results for the U.S. Secondly, through simulations, we investigate the robustness of the variance ratio test. We find that inference on the random walk hypothesis is sensitive to currency denomination, return horizon, and distributional assumptions. Finally, we examine the implications of predictability for international momentum strategies. We find that the excess returns from buying past winners and selling past losers are always positive at all horizons. The results are particularly striking for daily data, where the profitability is not only statistically significant but also economically important in the absence of transaction costs. We demonstrate that the excess returns are not greatly affected by potential biases due to nonsynchronous trading and cannot be simply explained as a compensation for bearing more systematic risks. We also find that both the winner and loser portfolios on average select smaller countries. These results complement recent findings on international momentum profitability by Chan et al. (2000), Rouwenhorst (1998), Griffin et al. (2003), and Bhojraj and Swaminathan (2001). These authors study momentum profitability at longer horizons while we focus more on the short-horizon predictability. The remainder of the paper is organized as follows. Section 2 describes the empirical methodology. Section 3 discusses the data and presents some summary statistics. Results on the predictability using the variance ratio test are reported in Section 4. Section 5 presents the performance of international momentum strategies and discusses possible explanations. Section 6 offers some concluding remarks.

This paper examines the predictability of short-horizon equity returns of 18 developed countries for the period 1979–1998. Using the variance ratio test and conventional significance levels, we find that the random walk hypothesis can be rejected for daily and weekly data for the majority of countries and that equity indices exhibit significant return continuation at short horizons. For monthly data, most markets may well be characterized as a random walk.18 Our results show that inference on the random walk hypothesis is sensitive to currency denomination, return horizon, and distributional assumptions. We also investigate the profitability of international momentum strategies. We find that the excess returns from buying past winners and short selling past losers are always positive. The results are particularly striking for daily data, where the momentum profits are not only statistically significant but also economically important in the absence of transaction costs. They complement those from the variance ratio test and provide further support for the predictability of short-horizon international equity returns. We provide a number of robustness checks for the profitability of momentum strategies. We find that the excess returns are not greatly biased by nonsynchronous trading. Furthermore, they cannot be simply explained as a compensation for bearing more market risk. A two-factor model with the Fama–French size portfolio as a second factor does not explain the results better. Imposing a reasonable transactions cost substantially reduces momentum profits, especially for the daily data. We also show that both the winner and the loser portfolios, on average, tend to select smaller countries.