Volume- and size-related lead-lag effects in stock returns and volatility: An empirical investigation of the Warsaw Stock Exchange |
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Authors: | Bartosz G?bka |
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Affiliation: | Department of Economics, European University Viadrina Frankfurt (Oder), Große Scharrnstraße 59, 15230 Frankfurt (Oder), Germany |
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Abstract: | We analyze the autocorrelation structure of returns and volatility of stocks listed in the single auction system on the Warsaw Stock Exchange during the period January 1996 - October 2000. First, we find that size- and volume-related cross-autocorrelation in portfolio returns exists even after accounting for the portfolio's own-autocorrelation. Second, we find that size and volume leadership are independent from each other. Third, our results indicate slower adjustment of the small (low volume) portfolios to market-wide information that differs for up and down markets. We also find evidence for volatility spillovers between portfolio returns. |
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Keywords: | G12 G14 O16 |
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