Economic Sources of Asymmetric Cross-Correlation among Stock Returns
We suggest an alternative framework to explain the asymmetric return cross (serial)-correlation. We identify two major sources of the asymmetric cross-correlation: (1) the difference in the sensitivity of stock returns to economic factors, and (2) the differential quality of information between larg...
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Main Authors: | , |
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Format: | text |
Language: | English |
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Institutional Knowledge at Singapore Management University
2001
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Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/840 |
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Institution: | Singapore Management University |
Language: | English |
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