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|Title:||Stock return cross-autocorrelations and market conditions in Japan||Authors:||Hameed, A.
|Issue Date:||2006||Citation:||Hameed, A., Kusnadi, Y. (2006). Stock return cross-autocorrelations and market conditions in Japan. Journal of Business 79 (6) : 3029-3056. ScholarBank@NUS Repository. https://doi.org/10.1086/508007||Abstract:||We show that changes in market conditions significantly affect cross-autocorrelations and speed of adjustment in weekly stock returns. We find significant positive crossautocorrelations between weekly returns on a portfolio of small firms and lagged large-firm portfolio returns only when the lagged aggregate market has experienced a decline in value. These positive-return cross-autocorrelations are also associated with lower abnormal portfolio trading volume and greater delays in the adjustment of individual stock prices to (negative) market-wide information, particularly for small firms. The effect of lagged market states cannot be explained by market microstructure biases such as nonsynchronous trading or thin trading. © 2006 by The University of Chicago. All rights reserved.||Source Title:||Journal of Business||URI:||http://scholarbank.nus.edu.sg/handle/10635/44484||ISSN:||00219398||DOI:||10.1086/508007|
|Appears in Collections:||Staff Publications|
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