Download or read book Common Predictable Components in Regional Stock Markets written by Jia He and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper employs recently developed multivariate methods to study the predictability of international stock market returns. We find evidence of significant common predictable components within the Pacific, the European, and the North American stock markets using region-specific instrumental variables. The degree of predictability of these common movements, however, varies across regional markets and across subperiods. Results indicate that only North American instrumental variables have the ability to predict excess returns on the stock markets in the other two regions, but not vice versa.