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Mean and variance spillovers among size-sorted UK equity portfolios

Kanas, Angelos (2002) Mean and variance spillovers among size-sorted UK equity portfolios. Applied Economics Letters, 9 (5). pp. 319-323. ISSN 1350-4851. (doi:10.1080/13504850110065858) (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/10.1080/13504850110065858

Abstract

The paper extends Lo and MacKinlay's 1990 findings by testing for mean and variance spillovers among size-sorted portfolios for the UK stock market. The London Business School Share Price Database, which contains the returns of approximately 6000 companies, is used to construct two sets of size-sorted portfolios using two alternative weighting schemes. Evidence is found of mean and variance spillovers from large to small-firm portfolios, but not vice versa. This result holds for both weighting schemes. The existence of such spillovers suggests that profitable mean-and variance-based trading strategies exist in the UK stock market.

Item Type: Article
DOI/Identification number: 10.1080/13504850110065858
Uncontrolled keywords: equity, market conditions, spillover effect, stock market, United Kingdom
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 15:16 UTC
Last Modified: 29 May 2019 12:36 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/41164 (The current URI for this page, for reference purposes)
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