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...