An Empirical Research on Size Related Lead-lag Relationship in China Stock Market

摘要：

This paper examine size related lead lag relationship under different market periods and conditions through making large cap portfolio and small cap portfolio in china stock market. We find that returns on large cap portfolio lead that of small cap portfolio in bull market and returns on small cap portfolio lead that of large cap portfolio in bear market. Further research indicate that this size related lead lag relationship does not arise from the difference between large and small cap portfolios reactions to good and bad news.

关键词： large cap portfolio small cap portfolio lead lag relationship

作者: ZHU Tianxing HE Li XU Mingsheng GUO Xiaotong

作者单位: Economic School of Shenyang University of Technology, Shenyang, P.R.China, 110870 School of Manageme Basic Sciences of Changchun University of Technology, Changchun, P.R.China, 130012 Postdoctoral Research Station of Bank of Dalian, Dalian, P.R.China, 116001 Economics and Management of TongJi University, Shanghai, P.R.China, 201804

会议类型: 国际会议

会议名称: The 3rd International Institute of Statistics & Management Engineering Symposium(2010 国际统计与管理工程研讨会 IISMES)

会议地点: 威海

会议语种:英文

页码: 578-585

在线出版日期: 2010-07-24（万方平台首次上网日期，不代表论文的发表时间）