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Lead lag Relationship: Analysis of KSE

Author

Listed:
  • Arsalan Siraj Mir

    (Institute of Management Sciences, Peshawar)

  • Attaur Rahman

    (Institute of Management Sciences, Peshawar)

Abstract

This research paper finds the lead lag relationship between the firms listed on the KSE-100 index. Lead lag relationship is analyzed between large and small capitalization portfolios. Moreover, up market and down-market conditions are also explored for finding out the lead lag relationship in the KSE-100 index. Autoregressive Conditional Heteroskedasticity model is used for finding out the effect of symmetric and asymmetric betas on small cap portfolio returns. The results show that there is no lead lag relationship between small cap portfolios and large cap portfolios when the market is not divided into up and down markets. For the asymmetric beats, the analysis shows that there is lead lag relationship between small cap portfolio returns and lagged large cap portfolio returns in the up market. On the other hand, large cap portfolio returns lead small cap portfolio returns in the down market.

Suggested Citation

  • Arsalan Siraj Mir & Attaur Rahman, 2012. "Lead lag Relationship: Analysis of KSE," Business & Economic Review, Institute of Management Sciences, Peshawar, Pakistan, vol. 4(2), pages 44-56, October.
    • Handle: RePEc:bec:imsber:v:4:y:2012:i:2:p:44-56
    DOI: dx.doi.org/10.22547/BER/4.2.4
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    File URL: http://imsciences.edu.pk/files/journals/Vol.%204.%20No.%202%20October%202012/(4)%20Arsalan%20Siraj%20Mir%20&%20Atta%20ur%20Rahman.pdf
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    Citations

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    Cited by:

    1. Shah, Mohay Ud Din & Shah, Attaullah & Khan, Safi Ullah, 2017. "Herding behavior in the Pakistan stock exchange: Some new insights," Research in International Business and Finance, Elsevier, vol. 42(C), pages 865-873.

    More about this item

    Keywords

    Capitalization; heteroskedasticity; asymmetric beats; porfolio;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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