Sammanfattning
I investigate whether the cross-autocorrelation pattern of US small- and large-firm returns changes with the variance of returns using an exponential vector autoregressive model with volatility. The model allows the testing of dynamic cross-autocorrelation effects, while controlling for own time-varying autoregressive coefficients. Using daily and weekly data from 1965 to 2015, a constant cross-autocorrelation pattern is rejected. Returns on a large-firm portfolio are found to lead returns on a small-firm portfolio. The lead-lag relation changes over time with the variance of the large-firm returns. Traditional vector autoregressions with constant cross-autoregressive coefficients appear to be overly restrictive when testing lead-lag relations in stock markets.
Originalspråk | Engelska |
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Referentgranskad vetenskaplig tidskrift | Journal of Empirical Finance |
Volym | 40 |
Nummer | January |
Sidor (från-till) | 162-173 |
Antal sidor | 12 |
ISSN | 0927-5398 |
DOI | |
Status | Publicerad - 09.2016 |
MoE-publikationstyp | A1 Originalartikel i en vetenskaplig tidskrift |
Nyckelord
- 512 Företagsekonomi