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Predictable Returns and Non-Synchronous Trading

Author

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  • Latifa Fatnassi
  • Ezzeddine Abaoub

Abstract

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 trading and when considering one-minute interval data. We then propose a simple test to infer whether such predictability is mainly attributing to non-synchronous trading or an actual delayed adjustment on part of traders. The results obtained suggest that the observed predictability is attributed to non-synchronous trading instead of delay adjustments in price to the “news”.

Suggested Citation

  • Latifa Fatnassi & Ezzeddine Abaoub, 2012. "Predictable Returns and Non-Synchronous Trading," Journal of Asian Business Strategy, Asian Economic and Social Society, vol. 2(11), pages 238-249.
    • Handle: RePEc:asi:joabsj:v:2:y:2012:i:11:p:238-249:id:4049
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