| Author: | Koch, P. Koch, T. |
| Title: | Forecasting stock returns in the Japanese, UK, and US markets during the crash of October 1987 |
| Journal: | Managerial Finance
1994 : VOL.2:2/3, p.68-89 |
| Index terms: | USA JAPAN UNITED KINGDOM STOCK RETURNS FORECASTING |
| Language: | eng |
| Abstract: | The literature on global market integration leads us to pose the question: can we use our understanding of the interrelationships among different national stock markets to improve the forecasts of daily movements in individual markets? This study offers a stringent investigation of this question by examining a forecast horizon which includes the international stock market crash of October 1987. The authors build two different kinds of forecasting models for the world's three largest equity markets (Japan, the UK and the US). |
SCIMA