Stock return 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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| 格式: | text |
| 語言: | English |
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Institutional Knowledge at Singapore Management University
2006
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| 在線閱讀: | https://ink.library.smu.edu.sg/soa_research/1452 |
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| 機構: | Singapore Management University |
| 語言: | English |