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Title: Stock return cross-autocorrelations and market conditions in Japan
Authors: Hameed, A. 
Kusnadi, Y.
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.
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
ISSN: 00219398
DOI: 10.1086/508007
Appears in Collections:Staff Publications

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