Camilleri, Silvio John; Green, Christopher J - In: Studies in Economics and Finance 31 (2014), pp. 354-370
Purpose – The main objective of this study is to obtain new empirical evidence on non-synchronous trading effects … overnight returns is proposed to infer whether the observed predictability is mainly attributable to non-synchronous trading or … some form of inefficiency. Findings –The evidence suggests that non-synchronous trading is a better explanation for the …