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The temporal relationship between large- and small-capitalization stock returns:: Evidence from the UK

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  • Grieb, Terrance
  • Reyes, Mario G.
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    File URL: http://www.sciencedirect.com/science/article/B6W61-4562BCM-1/2/2bfc938ff2a951b161b6232d29b46abd
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    Bibliographic Info

    Article provided by Elsevier in its journal Review of Financial Economics.

    Volume (Year): 11 (2002)
    Issue (Month): 2 ()
    Pages: 109-118

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    Handle: RePEc:eee:revfin:v:11:y:2002:i:2:p:109-118

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    Web page: http://www.elsevier.com/locate/inca/620170

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    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Menyah, Kojo, 1999. "New evidence on the impact of size and taxation on the seasonality of UK equity returns," Review of Financial Economics, Elsevier, vol. 8(1), pages 11-24, June.
    2. Mervyn King & Enrique Sentana & Sushil Wadhwani, 1990. "Volatiltiy and Links Between National Stock Markets," NBER Working Papers 3357, National Bureau of Economic Research, Inc.
    3. Mervyn A. King & Sushil Wadhwani, 1989. "Transmission of Volatility Between Stock Markets," NBER Working Papers 2910, National Bureau of Economic Research, Inc.
    4. Robert F. Engle & Victor K. Ng, 1991. "Measuring and Testing the Impact of News on Volatility," NBER Working Papers 3681, National Bureau of Economic Research, Inc.
    5. Clare, Andrew D & Psaradakis, Zacharias & Thomas, Stephen H, 1995. "An Analysis of Seasonality in the U.K. Equity Market," Economic Journal, Royal Economic Society, vol. 105(429), pages 398-409, March.
    6. Kim, Dongcheol & Kon, Stanley J, 1994. "Alternative Models for the Conditional Heteroscedasticity of Stock Returns," The Journal of Business, University of Chicago Press, vol. 67(4), pages 563-98, October.
    7. Angelos Kanas, 1998. "Volatility spillovers across equity markets: European evidence," Applied Financial Economics, Taylor & Francis Journals, vol. 8(3), pages 245-256.
    8. Booth, G. Geoffrey & Martikainen, Teppo & Tse, Yiuman, 1997. "Price and volatility spillovers in Scandinavian stock markets," Journal of Banking & Finance, Elsevier, vol. 21(6), pages 811-823, June.
    9. Poon, Ser-Huang & Taylor, Stephen J., 1992. "Stock returns and volatility: An empirical study of the UK stock market," Journal of Banking & Finance, Elsevier, vol. 16(1), pages 37-59, February.
    10. Reinganum, Marc R & Shapiro, Alan C, 1987. "Taxes and Stock Return Seasonality: Evidence from the London Stock Exchange," The Journal of Business, University of Chicago Press, vol. 60(2), pages 281-95, April.
    11. Darbar, Salim M & Deb, Partha, 1997. "Co-movements in International Equity Markets," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 20(3), pages 305-22, Fall.
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    Cited by:
    1. Miralles Marcelo, Jose Luis & Quiros, Jose Luis Miralles & Quiros, Maria del Mar Miralles, 2008. "Asymmetric variance and spillover effects: Regime shifts in the Spanish stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(1), pages 1-15, February.
    2. Ewing, Bradley T. & Malik, Farooq, 2005. "Re-examining the asymmetric predictability of conditional variances: The role of sudden changes in variance," Journal of Banking & Finance, Elsevier, vol. 29(10), pages 2655-2673, October.

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