Information diffusion and the lead-lag relationship between small and large size portfolios : evidence from an emerging market
Anastassios A. Drakos, Panayiotis F. Diamandis & Georgios P. Kouretas
| Year of publication: |
2015
|
|---|---|
| Authors: | Drakos, Anastassios A. ; Diamandis, Panayotis F. ; Kouretas, Georgios P. |
| Published in: |
International journal of economics and finance. - Toronto, ISSN 1916-971X, ZDB-ID 2531850-0. - Vol. 7.2015, 11, p. 25-38
|
| Subject: | lead-lag effect | cross correlation | cointegration | stock returns predictability | size-sorted portfolios | Kapitaleinkommen | Capital income | Portfolio-Management | Portfolio selection | Aktienmarkt | Stock market | Korrelation | Correlation | Informationsverbreitung | Information dissemination | Schätzung | Estimation | Kointegration | Cointegration | Handelsvolumen der Börse | Trading volume | Börsenkurs | Share price | Betriebsgröße | Firm size | Prognoseverfahren | Forecasting model | Schwellenländer | Emerging economies |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011401093