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...

We examine the profitability of momentum strategies in the Tunisian stock market over the period (January 1998-December 2007). We adopt the methodology of Jegadeesh and Titman (1993). The results show that momentum strategies are profitable. We use the methodology of Lo and Mackinlay (1990) and...

Previous research has recognized strong and robust links between seasonal variation in length of day, seasonal depression risk aversion and stock market returns. The influence of Seasonal Affective Disorder (SAD) on market returns is known as the SAD effect. We study the SAD effect in the...

In this paper, the authors investigate whether there is a certain relationship between five weather-based Proxy variables for investor mood and daily Tunisian stock prices over the period ranging between 1999 and 2006. The study is motivated by some recent researches arguing that people's...