Historical Relationships and International Market Return Predictability : The Role of the UK in the Former British Colonies, Protectorates and Mandates

Material type: 文書・図像類

Author: Hidaka, Takuroほか

Publisher: Graduate School of Economics, Osaka University

Publication date: 2023-10

Material Format: Paper

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Note (General)：: * Revised：Predictability of market returns for the UK’s former colonies, protectorates, and mandates [21-08, 2021]This study demonstrates that lagged ...

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Paper

Material Type: 文書・図像類
Title: Historical Relationships and International Market Return Predictability : The Role of the UK in the Former British Colonies, Protectorates and Mandates
Author/Editor: Hidaka, Takuro
Saito, Yuta
Sakamoto, Jun
Author Heading: Hidaka, Takuro
Saito, Yuta
https://nrid.nii.ac.jp/nrid/1000080847822
Sakamoto, Jun
Publication, Distribution, etc.: Graduate School of Economics, Osaka University
Publication Date: 2023-10
Publication Date (W3CDTF): 2023-10
Periodical title: Discussion Papers In Economics And Business
No. or year of volume/issue: 21-08-Rev.
Volume: 21-08-Rev.
Pages: 1-19
Text Language Code: eng
Subject Heading: Return predictability
Emerging market
Investment strategy
Target Audience: 一般
Note (General): * Revised：Predictability of market returns for the UK’s former colonies, protectorates, and mandates [21-08, 2021]
This study demonstrates that lagged UK stock returns predict stock returns in emerging markets that were previously colonies, protectorates, and mandates (CPMs). First, we evaluate the predictive power of lagged market returns from various advanced countries for the former CPMs. The results show that the UK ’s lagged market returns have the highest predictive power. We then examine the performance of investment strategies that use the returns of advanced countries as predictors. We find that a strategy that uses UK returns significantly outperforms those that use returns from other advanced countries as predictors. We also analyze a model that includes a dummy variable for recessions. The results show that the strategy using UK returns is the best for terminal wealth, while the strategy using U.S. returns is the best for the Sharp ratio. These findings suggest that lagged UK returns have strong predictive power for former CPMs in normal times, while lagged U.S. returns are better predictors during recessions.
References (URI): http://www2.econ.osaka-u.ac.jp/econ_society/dp/2108R.pdf
URI
http://www2.econ.osaka-u.ac.jp/econ_society/dp/2108R.pdf
Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）
https://irdb.nii.ac.jp
Original Data Provider (Database): 大阪大学 : 大阪大学学術情報庫　桜華