Cross-autocorrelation in the New Zealand stock market
We examine the New Zealand stock market for evidence of cross-autocorrelation. We find some evidence of both Lo and MacKinlay's (1990) size effect and Chordia and Swaminathan's (2000) volume effect. Moreover, in the size portfolios, the results of cross-autocorrelations are consistent with the findings of Li and Xu (2002) published in Applied Economics Letters. In the size-volume portfolios, this study reveals a special characteristic of the New Zealand stock market that lagged returns of a larger-volume portfolio may not always lead returns of a smaller-volume portfolio.
Year of publication: |
2007
|
---|---|
Authors: | Choi, Daniel ; Zhao, Xin |
Published in: |
Applied Financial Economics. - Taylor & Francis Journals, ISSN 0960-3107. - Vol. 17.2007, 3, p. 215-219
|
Publisher: |
Taylor & Francis Journals |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
Cross-autocorrelation in the New Zealand stock market
Choi, Daniel, (2007)
-
Cross-autocorrelation in the New Zealand stock market
Choi, Daniel, (2007)
-
Impact of diversification on the distribution of stock returns: International evidence
Tang, Gordon, (1998)
- More ...