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...

The aim of this paper is to investigate the predictability of stock returns. The Efficient Market Hypothesis or Random Walk is rejected and an Alternative Parametric Model (ARIMA) is proposed for modeling and forecasting stock returns. The results of the variance ratio test of Lo and MacKinlay...

Previous research has recognized strong and robust links between seasonal variation in length of day, seasonal depression risk aversion and stock market returns. The influence of Seasonal Affective Disorder (SAD) on market returns is known as the SAD effect. We study the SAD effect in the...

In this paper, the authors investigate whether there is a certain relationship between five weather-based Proxy variables for investor mood and daily Tunisian stock prices over the period ranging between 1999 and 2006. The study is motivated by some recent researches arguing that people's...