The Korean Journal of Economic Studies
The Predictability of Korean Stock Returns and Volatility Clock Samples
In-Moo Kim / Seongkeun ParkYear 2009Vol. 57No. 3
Abstract
This paper investigates the predictability of Korean stock returns by usingvarious samples. It is suggested to use the observations sampled by thevolatility clock to correct the problems of persistence and endogeneity found inprevious studies. We find evidence for predictability with the interest rate,while that with other financial variables depends on the inference methods andthe sampling clocks.