scholarly journals Another Look at the Predictive Power of the Yield Spread: New Evidence

2021 ◽  
Vol 21 (2) ◽  
Keyword(s):  
Predictive Power ◽  
Yield Spread ◽  
New Evidence

MARGIN-TRADING ACTIVITIES AND FUTURE STOCK RETURNS: NEW EVIDENCE FROM NONLINEAR ANALYSIS

Fractals ◽  
2020 ◽  
Vol 28 (06) ◽  
pp. 2050126
Author(s):  
QINGSONG RUAN ◽  
JIARUI ZHANG ◽  
YAPING ZHOU ◽  
DAYONG LV
Keyword(s):  
Stock Returns ◽  
Cross Correlation ◽  
Predictive Power ◽  
Granger Causality Test ◽  
Return Predictability ◽  
Positive Information ◽  
Causality Test ◽  
Cross Correlation Analysis ◽  
Trading Activities ◽  
New Evidence

Using multifractal detrended cross-correlation analysis (MF-DCCA) and nonlinear Granger causality test, this paper examines the return predictability of margin-trading activities. Results show that the predictive power of margin-trading activities on subsequent stock returns varies with respect to the different aspects of margin trading. In line with previous studies, we find no significant correlation between margin-buying amount and subsequent stock returns. However, the margin-covering amount is negatively associated with subsequent stock returns; and margin debt is positively associated with the future stock returns. In general, our findings suggest that margin traders may have no positive information when they conduct a margin-buying position, but may possess negative information when covering their positions.

scholarly journals On the Predictive Power of the Yield Spread for Future Growth and Recession: The Turkish Case

2013 ◽  
Author(s):  
Hüseyin Kaya
Keyword(s):  
Monetary Policy ◽  
Industrial Production ◽  
Inflation Targeting ◽  
Predictive Power ◽  
Probit Model ◽  
Yield Spread ◽  
Production Growth ◽  
One Year ◽  
Turkish Case ◽  
Future Growth

This paper investigates the predictive power of the yield spread on future industrial production growth and recession in Turkey. Employing the linear regression model we find that the yield spread has predictive power when forecasting industrial production growth. The results also suggest that in the inflation targeting monetary policy period, predictive power of the yield spread has increased. Furthermore, we investigate whether the yield spread predicts recession by employing a probit model. Since no official recessions are available in Turkey, we determine the recessions using the BBQ methodology. The findings suggest that the yield spread predicts the recessions about one year ahead.

scholarly journals Economic activity forecast in emerging markets

2014 ◽  
Vol 12 (1) ◽  
pp. 325-329 ◽  
Author(s):  
Andre Carvalhal ◽  
Miguel Murillo
Keyword(s):  
Economic Growth ◽  
Emerging Markets ◽  
Emerging Economies ◽  
Economic Activity ◽  
Predictive Power ◽  
Forecasting Model ◽  
Yield Spread ◽  
Fixed Income ◽  
Time Horizons ◽  
Activity Forecast

This paper uses a forecasting model for real economic activity for a group of emerging economies (Brazil, India, Mexico and Russia) based on the information contained in their capital markets. We forecast the industrial production in emerging markets throughout different time horizons using information contained in stock and fixed-income markets. Our results suggest that fixed-income and stock markets do not reveal information regarding future economic growth in Brazil, Mexico and Russia. In the case of India, the yield spread explain part of the variation of the economic activity, but the stock market does not have predictive power.

The predictive power of yield spread: evidence from wavelet analysis

2013 ◽  
Vol 46 (3) ◽  
pp. 887-901 ◽  
Author(s):  
Arif Billah Dar ◽  
Amaresh Samantaraya ◽  
Firdous Ahmad Shah
Keyword(s):  
Wavelet Analysis ◽  
Predictive Power ◽  
Yield Spread
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