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L’impact d’une transaction asynchrone sur la prévisibilité des rendements : cas du marché coréen

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  • latifa FATNASSI

Abstract

L’objectif de ce papier est d’étudier l’impact d’une transaction asynchrone sur la prévisibilité des rendements de deux indices de différentes liquidités du marché Coréen. Nous proposons une nouvelle alternative qui se focalise sur l’étude de l’effet lead-lag sur la valeur de deux indices de chaque marché étudié en adoptant la méthodologie de Camilleri et Green [2004] sur le marché Coréen. Les résultats obtenus montrent que l’indice le plus liquide devance (lead) l’indice moins liquide surtout dans le cas des données à haute fréquence. La prévisibilité des rendements est attribuée à une transaction asynchrone et non à un retard des ajustements des prix à une nouvelle information.

Suggested Citation

  • latifa FATNASSI, 2014. "L’impact d’une transaction asynchrone sur la prévisibilité des rendements : cas du marché coréen," Journal of Academic Finance, RED research unit, university of Gabes, Tunisia, vol. 5(1), December.
    • Handle: RePEc:jaf:journl:v:5:y:2014:i:1:n:21
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    Keywords

    Prévisibilté; effet lead-lag; marchés émergents; fonction impulse-response; causalité au sens de Granger; Return Predictability; Lead-lag effect; Emergent Market; Impulse-Response function; Granger-Causality;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • N25 - Economic History - - Financial Markets and Institutions - - - Asia including Middle East

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