Fatnassi, Latifa; Abaoub, Ezzeddine - In: Journal of Asian Business Strategy 2 (2012) 11, pp. 238-249
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...