The Predictability of Stock Returns with Local Versus Global Nonparametric Estimators

摘要

This paper uses the daily Dow Jones Industrial Average Index from 1986 to 1988 to exaime the linear and nonlinear predictability of stock market returns with simple technical rrading rules, by using the nearest neighbors and the feedforward network regressions. Evidence of nonlinear predictability is found in the stock market returns by usiing the past returns and the buy and sell signals of the moving average rules.