The Lead-Lag Effect on the Predictability of Returns: The Case of Taiwan Market
Keywords:
small enterprises, funding institutions, microfinance
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.
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References
G. Oliveira, O. Mederos (2009) lead-lag relationship between spot price index and futures price of Nikkei stock average. 6, 553-563.
G. PENA, B. GUELMAN, H. RABELLO (2001) US, uk and Asian stock markets before and after September 11, 2001. (3).
MALLIARIS (1992) the international crash of October 1987: causality tests. 27(3), 353-364. http://www.administradores.com.br/informe-se/producao-academica/influencia-dos-indices-dow-jones-e-nikkei-225-sobre-o-ibovespa/785
Published
2014-03-17
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This work is licensed under a Creative Commons Attribution 4.0 International License.