Cross-autocorrelations in European stock returns

Amado Peiró

This paper examines lead-lag relationships between monthly index returns from 18 European industries. Several interesting and clear relationships are found that call into question the efficiency of European stock markets. While the Automobiles & Parts sector lags more than half of the other sectors, the Financial Services, Technology, and Telecommunications sectors lead many others. In particular, the leadership of the Technology sector has strengthened in recent years.

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Year of publication:	March 2016
Authors:	Peiro, Amado
Published in:	Economics and Business Letters : EBL. - Oviedo : Univ., ISSN 2254-4380, ZDB-ID 2708683-5. - Vol. 5.2016, 1, p. 30-37
Subject:	cross-autocorrelations \| efficient markets \| European stock markets \| sector indices \| Aktienmarkt \| Stock market \| EU-Staaten \| EU countries \| Kapitaleinkommen \| Capital income \| Autokorrelation \| Autocorrelation \| Europa \| Europe \| Effizienzmarkthypothese \| Efficient market hypothesis \| Börsenkurs \| Share price \| Deutschland \| Germany \| Großbritannien \| United Kingdom \| Aktienindex \| Stock index

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Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.17811/ebl.5.1.2016.30-37 [DOI] hdl:11159/459 [Handle]
Classification:	G12 - Asset Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10011573194