Lead-lag patterns between small and large size portfolios in the London stock exchange

This paper investigates whether lead-lag patterns similar to those found in the US hold between small and large firm portfolios from the London stock exchange. On finding that such patterns do exist, it then investigates the dynamic linkages between the portfolios using some recently developed techniques of time series econometrics, as these allow for a richer exploration of lead-lag patterns than do standard autocorrelation and cross-correlation analysis.

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Year of publication:	2001
Authors:	Mills, Terence ; Jordanov, Jordan
Published in:	Applied Financial Economics. - Taylor & Francis Journals, ISSN 0960-3107. - Vol. 11.2001, 5, p. 489-495
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009206816