#2191. Liquidity and short-run predictability: Evidence from international stock markets

August 2026publication date
Proposal available till 30-05-2025
4 total number of authors per manuscript5010 $

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Journal’s subject area:
Finance;
Economics and Econometrics;
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Abstract:
This study investigates the determinants of short-run predictability in international stock markets, where predictability is defined as the accuracy of the best-combined daily forecasts. Markets with larger trading volume are more predictable, especially after the global financial crisis and in emerging markets. Those with larger market capitalization, steeper upward trends, and positively skewed returns are less predictable. Company financial strength has limited influence. During the COVID-19 pandemic the markets have become more predictable, with stronger price trends. Emerging markets are less predictable when relatively over- or undervalued.
Keywords:
COVID-19; Forecasting accuracy; Market efficiency; Price impact; Transaction costs

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