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Evaluation of forecasting methods from selected stock market returns. Financial Innovation, 5(1). doi:10.1186/s40854-019-0157-x Prime, S. (2020). Forecasting the changes in daily stock prices in Shanghai Stock Exchange using Neural Network and Ordinary Least Squares Regression. Investment Management and Financial Innovations, 17(3), 292-307. doi:10.21511/imfi.17(3).2020.22 Umstead, D. (1977). Forecasting Stock Market Prices. The Journal of Finance, 32(2), 427-441. doi:10.2307/2326776 Malkiel, Burton, G. 2003. "The Efficient Market Hypothesis and Its Critics ." Journal of Economic Perspectives, 17 (1): 59-82.DOI: 10.1257/089533003321164958 Cunningham, S. (1973). The Predictability of British Stock Market Prices. Journal of the Royal Statistical Society. Series C (Applied Statistics), 22(3), 315-331. doi:10.2307/2346780 GARG, A., & BODLA, B. (2011). Impact of the Foreign Institutional Investments on Stock Market: Evidence from India. Indian Economic Review, 46(2), 303-322. Retrieved March 23, 2021, from http://www.jstor.org/stable/23266433 Metin, K., & Muradoglu, G. (2001). Forecasting Integrated Stock Markets Using International CoMovements. Russian & East European Finance and Trade, 37(5), 45-63. Retrieved March 23, 2021, from http://www.jstor.org/stable/27749591 Abarbanell, J., & Bushee, B. (1997). Fundamental Analysis, Future Earnings, and Stock Prices. Journal of Accounting Research, 35(1), 1-24. doi:10.2307/2491464 Pan, J., & Poteshman, A. (2006). The Information in Option Volume for Future Stock Prices. The Review of Financial Studies, 19(3), 871-908. Retrieved March 23, 2021, from http://www.jstor.org/stable/3844016 Joseph, A., Larrain, M., & Turner, C. (2017, October 09). Daily Stock Returns Characteristics and Forecastability. Retrieved from https://www.sciencedirect.com/science/article/pii/S1877050917318276 Joseph, A., Larrain, M., & Turner, C. (2017, October 09). Daily Stock Returns Characteristics and Forecastability. Retrieved from https://www.sciencedirect.com/science/article/pii/S1877050917318276 Qi, M. (1999). Nonlinear Predictability of Stock Returns Using Financial and Economic Variables. Journal of Business & Economic Statistics, 17(4), 419-429. doi:10.2307/1392399 Pesaran, M., & Timmermann, A. (1995). Predictability of Stock Returns: Robustness and Economic Significance. The Journal of Finance, 50(4), 1201-1228. doi:10.2307/2329349 Pesaran, M., & Timmermann, A. (2000). A Recursive Modelling Approach to Predicting UK Stock Returns. The Economic Journal, 110(460), 159-191. Retrieved March 23, 2021, from http://www.jstor.org/stable/2565652 Kenneth L. Fisher, & Statman, M. (2000). Investor Sentiment and Stock Returns. Financial Analysts Journal, 56(2), 16-23. Retrieved March 23, 2021, from http://www.jstor.org/stable/4480229 Carvalhal, A., & De Melo Mendes, B. (2008). Evaluating the Forecast Accuracy of Emerging Market Stock Returns. Emerging Markets Finance & Trade, 44(1), 21-40. Retrieved March 23, 2021, from http://www.jstor.org/stable/27750585 Joseph, A., Larrain, M., & Turner, C. (2017, October 09). Daily Stock Returns Characteristics and Forecastability. Retrieved from https://www.sciencedirect.com/science/article/pii/S1877050917318276 Campbell, J., & Thompson, S. (2008). Predicting Excess Stock Returns out of Sample: Can Anything Beat the Historical Average? The Review of Financial Studies, 21(4), 1509-1531. Retrieved March 23, 2021, from http://www.jstor.org/stable/40056860 Li, X., Becker, Y., & Rosenfeld, D. (2012). Asset Growth and Future Stock Returns: International Evidence. Financial Analysts Journal, 68(3), 51-62. Retrieved March 23, 2021, from http://www.jstor.org/stable/41713388 HUANG, Dashan; JIANG, Fuwei; Jun TU; and ZHOU, Guofu. Forecasting stock returns in good and bad times: The role of market states. (2017). 1-41. Research Collection Lee Kong Chian School Of Business, from https://ink.library.smu.edu.sg/lkcsb_research/5156 Granger, C. W. 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