Papers by Latifa Fatnassi Chaibi
Journal of Asian Business Strategy, 2012
The aim of this paper is to investigate non-synchronous trading effect in terms of predictability... more The aim of this paper is to investigate non-synchronous trading effect in terms of predictability. This analysis is applied to daily and one-minute interval data on the KOREA stock market. The results indicate evidence of predictability between indices with different degrees of non-synchronous trading and when considering one-minute interval data. We then propose a simple test to infer whether such predictability is mainly attributing to non-synchronous trading or an actual delayed adjustment on part of traders. The results obtained suggest that the observed predictability is attributed to non-synchronous trading instead of delay adjustments in price to the “news”.
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The Economics and Finance Letters, 2014
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The purpose of this paper is to investigate random walk in HongKong stock exchange. The unit root... more The purpose of this paper is to investigate random walk in HongKong stock exchange. The unit root, autocorrelation and the variance ratio tests are applied, using daily data on returns of two indexes in the period 1997:7 to 2012:12. For two indexes, the null hypothesis of random walk is rejected and therefore the markets are no weak-form efficiency.
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Global Journal of Management and Business Research, 2014
The aim of this paper is to investigate the lead-lag effect on the predictability of returns. Thi... more 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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The aim of this paper is to investigate the lead-lag effect between two indices on the HONG-KONG ... more The aim of this paper is to investigate the lead-lag effect between two indices on the HONG-KONG stock market. This analysis is applied to daily data from 14/04/2003 to 10/10/2014. The results show that the more liquid index leads the less liquid. These results are consistent with those shown by the impulse response function. These results concluded that the predictability of less liquid index by more liquid index returns. In these studies, we can conclude that the lead-lag effect can generate a predictability of returns of the two indices of Hong-Kong stock exchange in the case of daily data.
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Global Journal of Management and Business Research, Apr 6, 2014
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Global Journal of Management and Business Research, Apr 6, 2014
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Papers by Latifa Fatnassi Chaibi