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

Latifa Fatnassi Chaibi

Authors

Latifa Fatnassi Chaibi

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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How to Cite

The Lead-Lag Effect on the Predictability of Returns: The Case of Taiwan Market. (2014). Global Journal of Management and Business Research, 14(C2), 19-23. https://journalofbusiness.org/index.php/GJMBR/article/view/1394

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