Handbook of Frontier Markets

Chapter 10

Stock Index Return Predictability in Frontier Markets: Is It There?

A. Vivian    School of Business and Economics, Loughborough University, Loughborough, United Kingdom

Abstract

This chapter builds upon the extensive prior literature on return predictability by studying 10 frontier market indices. In general there is modest evidence of return predictability in frontier markets. More evidence is found in favor of predictability than would be expected under the null of no predictability. However, there is not widespread evidence in favor of any one predictor across countries; rather, return predictability is clustered in specific countries. In terms of economic value we find that in general, modest economic value can be generated. The ...