The price adjustment and lead-lag relations between stock returns: microstructure evidence from the Taiwan stock market |
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| Authors: | Chaoshin Chiao Ken Hung Cheng F Lee |
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| Institution: | a Department of Finance, National Dong Hwa University, Da-Hsueh Road, 1 Sec. 2, Shou-Feng, Hualien 974, Taiwan;b Department of Finance, Rutgers University, Piscataway, New Jersey 08854, USA |
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| Abstract: | This paper investigates the price adjustment and lead-lag relations between returns on five size-based portfolios in the Taiwan stock market. It finds evidence that the price adjustment of small-stock portfolios is not slower than that of large-stock portfolios. Additionally, limited evidence supports a positive leading role of large-stock portfolio returns over small-stock portfolio returns. These two findings are substantially different from the results of previous research on developed markets. |
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| Keywords: | Lead-lag relations Market microstructures |
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