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An Analysis of the Impacts of Non-Synchronous Trading On

Author

Listed:
  • Silvio John Camilleri

    (Banking & Finance Dept. - University of Malta)

  • Christopher J. Green

    (Economics Dept., - Loughborough University)

Abstract

The serial correlation effects which non-synchronous trading can induce in financial data have been documented by various researchers. In this paper we investigate non-synchronous trading effects in terms of the predictability that may be induced in the values of stock indices. This analysis is applied to emerging-market data, on the grounds that such markets might be less liquid and thus prone to a higher degree of non- synchronous trading. We use both a daily data set and a higher frequency one, since the latter is a prerequisite for capturing intra-day variations in trading activity. When considering one-minute interval data, we obtain clear evidence of predictability between indices with different degrees of non-synchronous trading. We then propose a simple test to infer whether such predictability is mainly attributable to non- synchronous trading or an actual delayed adjustment on part of traders. The results obtained from an intra-day analysis suggest that the former cause seems a better explanation for the observed predictability. Future research in this area is needed to shed light on the degree of data predictability which may be exclusively attributed to non-synchronous trading, and how empirical results may be influenced by the chosen data frequency.

Suggested Citation

  • Silvio John Camilleri & Christopher J. Green, 2005. "An Analysis of the Impacts of Non-Synchronous Trading On," Finance 0504020, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpfi:0504020
    Note: Type of Document - pdf; pages: 50
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    References listed on IDEAS

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    Cited by:

    1. 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, November.
    2. Silvio John Camilleri, 2005. "Can a Stock Index be Less Efficient than Underlying Shares? An Analysis Using Malta Stock Exchange Data," Finance 0507006, University Library of Munich, Germany.

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    More about this item

    Keywords

    Non-Synchronous Trading; Stock Markets; National Stock Exchange of India; High-Frequency Data.;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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