Please use this identifier to cite or link to this item:
https://hdl.handle.net/2440/60055
Type: | Conference paper |
Title: | Lead-lag effects in Australian industry portfolios |
Author: | Haque, T. |
Citation: | Proceedings of 2008 AFAANZ/IAAER Conference In: AFAANZ / IAAER Conference 2008, 6-8 July 2008, Sydney, NSW, Australia, 2008: pp.1-37 |
Publisher: | AFAANZ |
Publisher Place: | On line |
Issue Date: | 2008 |
Conference Name: | AFAANZ Conference (2008 : Sydney, Australia) |
Statement of Responsibility: | Tariq Haque |
Abstract: | Hou (2007) shows that in the United States returns to stocks with high market capitalizations, in a given industry, lead returns to stocks in the same industry with smaller market capitalizations. We show similar lead-lag effects or positive crosscorrelations in Australian industry portfolios in both daily and weekly returns. The magnitude of lead-lag effects is larger in Australia reflecting the greater importance of large stocks as indicator stocks for the industries they lead. These results amplify the significance of industries in asset-pricing and behavioural finance models and also suggest that a within-industry switch from the large stocks of an industry to the smaller stocks, may be profitable. |
Keywords: | industries cross-correlation asset-pricing |
Rights: | Copyright status unknown |
Published version: | http://www.afaanz.org/openconf/2008/modules/request.php?module=oc_proceedings&action=proceedings.php&a=Accept+as+Paper |
Appears in Collections: | Aurora harvest 5 Business School publications |
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