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Predictability of finnish and Swedish stock returns

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  • Östermark, R

Abstract

In the paper an in-depth analysis of individual stock returns on the Helsinki Stock Exchange (Finland) and the Stockholm Stock Exchange (Sweden) is carried out using univariate time series methodology. The need for such a research effort is clearly indicated by the results obtained previously. The models are derived by a Cartesian ARIMA Search Algorithm (CARIMA), developed by Östermark and Höglund. In the study we demonstrate that the majority of stock prices in both markets are predictable with seasonal and/or nonseasonal ARIMA-models of a fairly simple structure. The stock markets are seen to differ in complexity of time series models as well as in predictability of individual asset prices.

Suggested Citation

  • Östermark, R, 1989. "Predictability of finnish and Swedish stock returns," Omega, Elsevier, vol. 17(3), pages 223-236.
    • Handle: RePEc:eee:jomega:v:17:y:1989:i:3:p:223-236
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    Cited by:

    1. Ostermark, Ralf & Hernesniemi, Hannu, 1995. "The impact of information timeliness on the predictability of stock and futures returns: An application of vector models," European Journal of Operational Research, Elsevier, vol. 85(1), pages 111-131, August.

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