The Lead-Lag Effect on the Predictability of Returns: The Case of Taiwan Market

The Lead-Lag Effect on the Predictability of Returns: The Case of Taiwan Market

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Latifa Fatnassi Chaibi

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Tunis El Manar University

The Lead-Lag Effect on the Predictability of Returns: The Case of Taiwan Market

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Abstract

The aim of this paper is to investigate the lead-lag effect on the predictability of returns. This analysis is applied to daily and one-minute interval data on the TAIWAN stock market. The results indicate evidence of predictability between indices with different degrees of liquidity and when considering one-minute interval data.

References

6 Cites in Article

Reference Format

G Oliveira,O Mederos (2009). Testing the existence of lead-lag effects between the U.S and Brazilian stock market.
Y Tse,K (1995). Lead‐lag relationship between spot index and futures price of the nikkei stock average.
I Meric,S Kim,J Kim,H (2001). co movements of US, uk and Asian stock markets before and after September 11.
G Pena,B Guelman,H Rabello Influência dos índices Dow Jones Industrial Avarage e Nikkei-225 sobre o Ibovespa. Faculdades Ibmec.
Rafael Nakamura (2009). O efeito lead-lag entre o mercado acionário brasileiro e o mercado de ADRs : uma revisão metodológica.
A Malliaris,J Urrutia (1992). the international crash of October 1987: causality tests.

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Funding

No external funding was declared for this work.

Conflict of Interest

The authors declare no conflict of interest.

Ethical Approval

No ethics committee approval was required for this article type.

Data Availability

Not applicable for this article.

How to Cite This Article

Latifa Fatnassi Chaibi. 2014. \u201cThe Lead-Lag Effect on the Predictability of Returns: The Case of Taiwan Market\u201d. Global Journal of Management and Business Research - C: Finance GJMBR-C Volume 14 (GJMBR Volume 14 Issue C2): .

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GJMBR Volume 14 Issue C2
Pg. 19- 23

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Journal Specifications

Crossref Journal DOI 10.17406/GJMBR

Print ISSN 0975-5853

e-ISSN 2249-4588

Keywords

funding institutions Microfinance small enterprises

Submission ReceivedDecember 7, 2013
Peer Review Double Blind
Handling Editor
Accepted January 4, 2014
Published January 15, 2014

Version of record

v1.2

Issue date

June 4, 2014

Language

en

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Article Matrices

Total Score: 101

Country: Tunisia

Subject: Global Journal of Management and Business Research - C: Finance

Authors: Latifa Fatnassi Chaibi (PhD/Dr. count: 0)

View Count (all-time): 128

Total Views (Real + Logic): 4490

Total Downloads (simulated): 2182

Publish Date: 2014 06, Wed

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Total Views: 4490

Total Downloads: 2182

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Published Article

The aim of this paper is to investigate the lead-lag effect on the predictability of returns. This analysis is applied to daily and one-minute interval data on the TAIWAN stock market. The results indicate evidence of predictability between indices with different degrees of liquidity and when considering one-minute interval data.

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