The cross-predictability of industry returns in international financial markets

IF 1.8 4区经济学 Q2 BUSINESS, FINANCE

International Review of Finance Pub Date : 2023-07-25 DOI:10.1111/irfi.12426

Xin Wang, Haofei Zhang

引用次数: 0

Abstract

This article finds evidence of return cross-predictability among trading partners in international financial markets. We show that the predictability of international customers dominates the predictability of domestic customers, and the predictability of international intra-industry customers dominates the predictability of international inter-industry customers. This return cross-predictability decreases with two country characteristics: financial sophistication and size.

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国际金融市场中行业回报的交叉可预测性

本文发现了国际金融市场中贸易伙伴之间收益交叉可预测性的证据。研究表明，国际客户的可预测性支配着国内客户的可预测性，国际行业内客户的可预测性支配着国际行业间客户的可预测性。这种回报的交叉可预测性随着两个国家的特征而降低:金融成熟度和规模。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

International Review of Finance BUSINESS, FINANCE-

CiteScore

3.30

自引率

5.90%

发文量

期刊介绍： The International Review of Finance (IRF) publishes high-quality research on all aspects of financial economics, including traditional areas such as asset pricing, corporate finance, market microstructure, financial intermediation and regulation, financial econometrics, financial engineering and risk management, as well as new areas such as markets and institutions of emerging market economies, especially those in the Asia-Pacific region. In addition, the Letters Section in IRF is a premium outlet of letter-length research in all fields of finance. The length of the articles in the Letters Section is limited to a maximum of eight journal pages.