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The Intertemporal Cross Price Behavior of Common Stocks: Evidence and Implications

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  • Gabriel A. Hawawini

Abstract

The paper presents a measure of the intertemporal cross correlation between two time series and reports evidence of the presence of intertemporal cross dependence between the returns of NYSE stocks and those of the SP 500, showing that frequently traded stocks behave differently from stocks with thinner markets.
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  • Gabriel A. Hawawini, 1980. "The Intertemporal Cross Price Behavior of Common Stocks: Evidence and Implications," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 3(2), pages 153-167, June.
    • Handle: RePEc:bla:jfnres:v:3:y:1980:i:2:p:153-167
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    File URL: http://hdl.handle.net/10.1111/j.1475-6803.1980.tb00047.x
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    References listed on IDEAS

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    1. Cohen, Kalman J, et al, 1980. "Implications of Microstructure Theory for Empirical Research on Stock Price Behavior," Journal of Finance, American Finance Association, vol. 35(2), pages 249-257, May.
    2. Hawawini, Gabriel A. & Vora, Ashok, 1980. "Temporal aggregation and the estimation of the market price of risk," Economics Letters, Elsevier, vol. 5(2), pages 165-170.
    3. Gabriel A. Hawawini, 1980. "The Intertemporal Cross Price Behavior of Common Stocks: Evidence and Implications," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 3(2), pages 153-167, June.
    4. Hawawini, Gabriel A., 1979. "The time-covariance function : Properties and application," Economics Letters, Elsevier, vol. 2(3), pages 235-238.
    5. Schwartz, Robert A & Whitcomb, David K, 1977. "The Time-Variance Relationship: Evidence on Autocorrelation in Common Stock Returns," Journal of Finance, American Finance Association, vol. 32(1), pages 41-55, March.
    6. Hawawini, Gabriel A., 1980. "Intertemporal Cross-Dependence in Securities Daily Returns and the Short-Run Intervaling Effect on Systematic Risk," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(1), pages 139-149, March.
    7. Schwartz, Robert A. & Whitcomb, David K., 1977. "Evidence on the Presence and Causes of Serial Correlation in Market Model Residuals," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(2), pages 291-313, June.
    8. Smith, Keith V., 1978. "The Effect of Intervaling on Estimating Parameters of the Capital Asset Pricing Model," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 13(2), pages 313-332, June.
    9. Cohen, Kalman J. & Hawawini, Gabriel A. & Maier, Steven F. & Schwartz, Robert A. & Whitcomb, David K., 1983. "Friction in the trading process and the estimation of systematic risk," Journal of Financial Economics, Elsevier, vol. 12(2), pages 263-278, August.
    10. Hawawini, Gabriel & Cohen, Kalman & Maier, Steven & Schwartz, Robert & Whitcomb, David, 1980. "Implications of microstructure theory for empirical research in stock price behavior," MPRA Paper 33976, University Library of Munich, Germany.
    11. Hawawini, Gabriel A. & Vora, Ashok, 1980. "Evidence of Intertemporal Systematic Risks in the Dailty Price Movements of NYSE and AMEX Common Stocks," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(2), pages 331-339, June.
    12. Levhari, David & Levy, Haim, 1977. "The Capital Asset Pricing Model and the Investment Horizon," The Review of Economics and Statistics, MIT Press, vol. 59(1), pages 92-104, February.
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    Cited by:

    1. Joanna Olbrys, 2013. "Price and Volatility Spillovers in the Case of Stock Markets Located in Different Time Zones," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 49(S2), pages 145-157, March.
    2. Gabriel A. Hawawini, 1980. "The Intertemporal Cross Price Behavior of Common Stocks: Evidence and Implications," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 3(2), pages 153-167, June.
    3. Hawawini, Gabriel, 1983. "Why beta shifts as the return interval changes," MPRA Paper 44893, University Library of Munich, Germany.
    4. Joanna Olbryś & Elżbieta Majewska, 2014. "Implications of market frictions: serial correlations in indexes on the emerging stock markets in Central and Eastern Europe," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 24(1), pages 51-70.

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    More about this item

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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