Please use this identifier to cite or link to this item: https://ktisis.cut.ac.cy/handle/10488/14123
Title: Stock market predictability 2000–2014: The effect of the great recession
Authors: Michail, Nektarios A. 
Major Field of Science: Social Sciences
Field Category: Other Social Sciences
Keywords: Adaptive markets;Great recession;Mean reversion;Stock market predictability
Issue Date: 2019
Source: International Journal of Banking, Accounting and Finance, 2019, vol. 10, no. 2, pp. 162-180
Volume: 10
Issue: 2
Start page: 162
End page: 180
Journal: International Journal of Banking, Accounting and Finance 
Abstract: The return predictability of 242 companies with continuous daily trading in the Standard and Poor’s index during the 2000–2014 period is examined using rolling variance ratio tests. The results indicate that predictability is time-varying and stock-specific, a finding which is in accordance to the adaptive market hypothesis. During the great recession the number of stocks whose returns were found to be predictable increased substantially, especially during the period of Lehman Brothers bankruptcy. Importantly, predictability is found to be driven by changing market conditions, such as stock market volatility and economic fundamentals.
ISSN: 1755-3830
DOI: 10.1504/IJBAAF.2019.099431
Rights: © Inderscience Enterprises Ltd.
Type: Article
Affiliation : Central Bank of Cyprus 
Cyprus University of Technology 
The Cyprus Centre for Business Research 
Appears in Collections:Άρθρα/Articles

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