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Lead-lag effects in the mean and variance of returns of size-sorted UK equity portfolios

Kanas, Angelos (2004) Lead-lag effects in the mean and variance of returns of size-sorted UK equity portfolios. Empirical Economics, 29 (3). pp. 575-592. ISSN 0377-7332. (doi:10.1007/s00181-004-0199-3) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided. (Contact us about this Publication)
Official URL
http://dx.doi.org/10.1007/s00181-004-0199-3

Abstract

We test for lead-lag effects in the mean and variance among size-sorted portfolios for the UK stock market. We construct three sets of portfolios, namely a set of size-sorted equally-weighted portfolios of different capitalization size, a set of size-sorted value-weighted portfolios of different capitalization size, and a third set of portfolios of the same capitalization size. The recently proposed Cross Correlation Function test is employed. For both sets of portfolios with different capitalization size, we find evidence of a lead effect in both the mean and the variance from large-firm portfolios to small-firm portfolios. This result does not depend on the weighting scheme used to construct portfolios, and indicates that contrarian trading strategies on large-firm portfolios are profitable. For portfolios of equal capitalization size, there is hardly any evidence of a lead-lag effect in either the mean or the variance. This suggests that the lead-lag effect is due to the difference in the capitalization size among portfolios. © Springer-Verlag 2004.

Item Type: Article
DOI/Identification number: 10.1007/s00181-004-0199-3
Uncontrolled keywords: Contrarian strategies, EGARCH Cross Correlation Function(CCF), Lead-lag effects, Trading strategies, equity, price dynamics, stock market
Subjects: H Social Sciences > HG Finance
Divisions: Faculties > Social Sciences > Kent Business School > Accounting and Finance
Depositing User: Tracey Pemble
Date Deposited: 22 May 2014 15:09 UTC
Last Modified: 29 May 2019 12:36 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/41162 (The current URI for this page, for reference purposes)
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