This paper examines the predictability of a range of international stock markets where we allow the presence of both local and global predictive factors. Recent research has argued that US returns have predictive power for international stock returns. We expand this line of research, following...

We consider whether key financial variables predict macroeconomic series and if any predictive power for output growth is also seen in consumption or investment growth. Such information will allow the use of financial markets as a leading indicator for macroeconomic performance. Full sample...

This paper examines the ability of bond and stock markets to predict subsequent GDP growth over a range of horizons for twelve international countries. The results, using linear, probit, time- and regime-varying in-sample regressions and out-of-sample forecasting, confirm the view that both...

This paper examines the behaviour of stock and bond markets across four major international countries. The results confirm the view that same asset-cross country return correlations and spillovers increase over time. However, the same in not true with variance and covariance behaviour....

We use wavelet analysis to examine the impact of macro-news announcements on the stock-bond correlation. Significant announcement effects appear after controlling for the recent financial crisis, with a link between the speed of reaction and the timing of announcements, with early released news...

This paper examines the predictability of a range of international stock markets where we allow the presence of both local and global predictive factors. Recent research has argued that US returns have predictive power for international stock returns. We expand this line of research, following...

Changes in stock returns arise from changes in expected future cash flow growth and expected future discount rates. However, which variables proxy for those changes remains unknown. This paper considers twenty-five variables that are arranged into five groups and examines both in-sample...

This paper examines the information content within several popular stock market factors, asking whether they contain independent explanatory power for stock returns and whether their movements relate to economic variables. Given, the explosion in the number of such factors, it is important to...

Movements in the stock market should reflect expectations regarding future economic conditions and lead the macroeconomy. However, evidence for stock returns providing such predictive power is mixed. We argue this arises as stock returns are noisy and consider the predictive ability of derived...

This paper analyses the dynamic transmission mechanism of volatility spillovers between key global financial indicators and G20 stock markets. To examine the volatility spillover relations a bivariate GARCH-BEKK model, which captures volatility spillovers, is combined with complex network...