The impact of an asynchronous transaction on the predictability of returns: case of the Korean market
DOI:
https://doi.org/10.59051/joaf.v5i1.24Keywords:
Return Predictability, Lead-lag effect, Emergent Market, Impulse-Response function, Granger-CausalityAbstract
This paper aims to study the impact of an asynchronous transaction on the predictability of the returns of two indices of different liquidities of the Korean market. We propose a new alternative that focuses on the study of the lead-Lag effecton the value of two indices of each market studied by adopting the methodology of Camilleri and Green [2004] on the Korean market. The results obtained show that the most liquid index leads (lead) the less liquid index especially in the case of high frequency data. The predictability of returns is attributed to an asynchronous transaction and not a delay in price adjustments to new information.
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Published
2014-12-17
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How to Cite
The impact of an asynchronous transaction on the predictability of returns: case of the Korean market. (2014). Journal of Academic Finance, 5(1). https://doi.org/10.59051/joaf.v5i1.24
