SEAN Equity ETF Return Predictability Dataset: Feature Matrix, Model Predictions, and SHAP Analysis (2022–2024)

This dataset supports the manuscript "Cross-Country Heterogeneity in ETF Return Predictability: Machine Learning and SHAP Evidence from ASEAN ETF Markets." It contains the final ETF-month feature matrix (1,169 observations across 42 ETFs listed in Thailand, Malaysia, Indonesia, Singapore, and Vietnam over 2022–2024), model prediction outputs from XGBoost, LightGBM, Random Forest, and OLS benchmarks, out-of-sample R² summaries, and SHAP-based feature importance results at both the global and country levels. Data were collected from Yahoo Finance and the World Bank Open Data API.