Testing the Existence of Lead-Lag Effects in the Hong-Kong Stock Market

Latifa Fatnassi Chaibi
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Latifa Fatnassi Chaibi: Research Scholar, Faculty of Economics and Management, Tunis, Tunisia

International Journal of Economics and Financial Research, 2016, vol. 2, issue 5, 99-103

Abstract: The aim of this paper is to investigate the lead-lag effect between two indices on the HONG-KONG stock market. This analysis is applied to daily data from 14/04/2003 to 10/10/2014. The results show that the more liquid index leads the less liquid. These results are consistent with those shown by the impulse response function. These results concluded that the predictability of less liquid index by more liquid index returns. In these studies, we can conclude that the lead-lag effect can generate a predictability of returns of the two indices of Hong-Kong stock exchange in the case of daily data.

Keywords: HKEx large cap liquid index; HKExGEM less liquid index; Lead-lag effect; Impulse-Response function (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:arp:ijefrr:2016:p:99-103

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