Cross-Autocorrelations and Market Conditions in Japan
We show that changes in market conditions significantly affect cross‐autocorrelations and speed of adjustment in weekly stock returns. We find significant positive cross‐autocorrelations between weekly returns on a portfolio of small firms and lagged large‐firm portfolio returns only when the lagged...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2006
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soa_research/1149 http://www.jstor.org/stable/10.1086/508007 |
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| Institution: | Singapore Management University |
| Language: | English |