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@article{ART002565288},
author={Chun, Sungju},
title={Predicting Korean Stock Market Return with Financial and Macro variables - Focusing on In-sample and Out-of-sample Tests -},
journal={Journal of Insurance and Finance},
issn={2384-3209},
year={2020},
volume={31},
number={1},
pages={87-113},
doi={10.23842/jif.2020.31.1.003}

TY - JOUR
AU - Chun, Sungju
TI - Predicting Korean Stock Market Return with Financial and Macro variables - Focusing on In-sample and Out-of-sample Tests -
JO - Journal of Insurance and Finance
PY - 2020
VL - 31
IS - 1
PB - Korea Insurance Research Institute
SP - 87
EP - 113
SN - 2384-3209
AB - This study evaluates the predictive power of 12 financial and macroeconomic variables for Korean stock market returns of different horizons. Both the return predictability of in-sample and out-of-sample tests are considered to examine each variable’s predictive ability more robustly. For this purpose, this article employs the MSE-F statistic developed by McCracken (2007) and the ENC-NEW statistic developed by Clark and McCracken (2001) to compare nested forecast models. In addition, the bootstrapping procedure is applied for both in-sample and out-of-sample inferences to address the finite-sample bias and the autocorrelated disturbances from overlapping observations. As a result, the book-to-market ratio variable is found to be the most consistent and significant predictor as it rejects the null of no predictability for both in-sample and out-of-sample tests.
KW - Stock Market Return predictability;Macroeconomic variables;Financial variables;In-sample predictability;Out-of-sample predictability
DO - 10.23842/jif.2020.31.1.003
ER -

Chun, Sungju. (2020). Predicting Korean Stock Market Return with Financial and Macro variables - Focusing on In-sample and Out-of-sample Tests -. Journal of Insurance and Finance, 31(1), 87-113.

Chun, Sungju. 2020, "Predicting Korean Stock Market Return with Financial and Macro variables - Focusing on In-sample and Out-of-sample Tests -", Journal of Insurance and Finance, vol.31, no.1 pp.87-113. Available from: doi:10.23842/jif.2020.31.1.003

Chun, Sungju "Predicting Korean Stock Market Return with Financial and Macro variables - Focusing on In-sample and Out-of-sample Tests -" Journal of Insurance and Finance 31.1 pp.87-113 (2020) : 87.

Chun, Sungju. Predicting Korean Stock Market Return with Financial and Macro variables - Focusing on In-sample and Out-of-sample Tests -. 2020; 31(1), 87-113. Available from: doi:10.23842/jif.2020.31.1.003

Chun, Sungju. "Predicting Korean Stock Market Return with Financial and Macro variables - Focusing on In-sample and Out-of-sample Tests -" Journal of Insurance and Finance 31, no.1 (2020) : 87-113.doi: 10.23842/jif.2020.31.1.003

Chun, Sungju. Predicting Korean Stock Market Return with Financial and Macro variables - Focusing on In-sample and Out-of-sample Tests -. Journal of Insurance and Finance, 31(1), 87-113. doi: 10.23842/jif.2020.31.1.003

Chun, Sungju. Predicting Korean Stock Market Return with Financial and Macro variables - Focusing on In-sample and Out-of-sample Tests -. Journal of Insurance and Finance. 2020; 31(1) 87-113. doi: 10.23842/jif.2020.31.1.003

Chun, Sungju. Predicting Korean Stock Market Return with Financial and Macro variables - Focusing on In-sample and Out-of-sample Tests -. 2020; 31(1), 87-113. Available from: doi:10.23842/jif.2020.31.1.003

Chun, Sungju. "Predicting Korean Stock Market Return with Financial and Macro variables - Focusing on In-sample and Out-of-sample Tests -" Journal of Insurance and Finance 31, no.1 (2020) : 87-113.doi: 10.23842/jif.2020.31.1.003