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

Latifa Fatnassi Chaibi

Volume 14 Issue 2

Global Journal of Management and Business

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.