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Stock Return Cross-Autocorrelations and Market Conditions in Japan

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Author Info

  • Allaudeen Hameed

    (National University of Singapore)

  • Yuanto Kusnadi

    (Hong Kong University of Science and Technology)

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    Abstract

    We show that changes in market conditions significantly affect cross-autocorrelations and speed of adjustment in weekly stock returns. We find significant positive cross-autocorrelations between weekly returns on a portfolio of small firms and lagged large-firm portfolio returns only when the lagged aggregate market has experienced a decline in value. These positive-return cross-autocorrelations are also associated with lower abnormal portfolio trading volume and greater delays in the adjustment of individual stock prices to (negative) market-wide information, particularly for small firms. The effect of lagged market states cannot be explained by market microstructure biases such as nonsynchronous trading or thin trading.

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    Bibliographic Info

    Article provided by University of Chicago Press in its journal Journal of Business.

    Volume (Year): 79 (2006)
    Issue (Month): 6 (November)
    Pages: 3029-3056

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    Handle: RePEc:ucp:jnlbus:v:79:y:2006:i:6:p:3029-3056

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    Web page: http://www.journals.uchicago.edu/JB/

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