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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How to Cite
Latifa Fatnassi Chaibi. (2014). The Lead-Lag Effect on the Predictability of Returns: The Case of Taiwan Market. Global Journal of Management and Business Research, 14(C2), 19–23. Retrieved from https://journalofbusiness.org/index.php/GJMBR/article/view/1394
Published
2014-01-15
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Articles
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Copyright (c) 2014 Authors and Global Journals Private Limited
This work is licensed under a Creative Commons Attribution 4.0 International License.