IDEAS home Printed from https://ideas.repec.org/a/eee/revfin/v11y2002i2p109-118.html
   My bibliography  Save this article

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

Author

Listed:
  • Grieb, Terrance
  • Reyes, Mario G.

Abstract

No abstract is available for this item.

Suggested Citation

  • Grieb, Terrance & Reyes, Mario G., 2002. "The temporal relationship between large- and small-capitalization stock returns:: Evidence from the UK," Review of Financial Economics, Elsevier, vol. 11(2), pages 109-118.
    • Handle: RePEc:eee:revfin:v:11:y:2002:i:2:p:109-118
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S1059-0560(02)00104-1
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Salim M. Darbar & Partha Deb, 1997. "Co-Movements In International Equity Markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 20(3), pages 305-322, September.
    2. King, Mervyn A & Wadhwani, Sushil, 1990. "Transmission of Volatility between Stock Markets," The Review of Financial Studies, Society for Financial Studies, vol. 3(1), pages 5-33.
    3. Parha Deb & Mr. Salim M. Darbar, 1999. "Linkages Among Asset Markets in the United States: Tests in a Bivariate GARCH Framework," IMF Working Papers 1999/158, International Monetary Fund.
    4. 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.
    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. Lo, Andrew W & MacKinlay, A Craig, 1990. "When Are Contrarian Profits Due to Stock Market Overreaction?," The Review of Financial Studies, Society for Financial Studies, vol. 3(2), pages 175-205.
    7. Engle, Robert F & Ng, Victor K, 1993. "Measuring and Testing the Impact of News on Volatility," Journal of Finance, American Finance Association, vol. 48(5), pages 1749-1778, December.
    8. 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 563-598, October.
    9. Angelos Kanas, 1998. "Volatility spillovers across equity markets: European evidence," Applied Financial Economics, Taylor & Francis Journals, vol. 8(3), pages 245-256.
    10. 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.
    11. McQueen, Grant & Pinegar, Michael & Thorley, Steven, 1996. "Delayed Reaction to Good News and the Cross-Autocorrelation of Portfolio Returns," Journal of Finance, American Finance Association, vol. 51(3), pages 889-919, July.
    12. 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.
    13. Mario Reyes, 2001. "Asymmetric volatility spillover in the Tokyo stock exchange," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 25(2), pages 206-213, June.
    14. King, Mervyn & Sentana, Enrique & Wadhwani, Sushil, 1994. "Volatility and Links between National Stock Markets," Econometrica, Econometric Society, vol. 62(4), pages 901-933, July.
    15. 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 281-295, April.
    16. Ross, Stephen A, 1989. " Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy," Journal of Finance, American Finance Association, vol. 44(1), pages 1-17, March.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Drakos, Anastassios A., 2016. "Does the relationship between small and large portfolios’ returns confirm the lead–lag effect? Evidence from the Athens Stock Exchange," Research in International Business and Finance, Elsevier, vol. 36(C), pages 546-561.
    2. 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.
    3. 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.
    4. Long, Wen & Guan, Lijing & Shen, Jiangjian & Song, Linqiu & Cui, Lingxiao, 2017. "A complex network for studying the transmission mechanisms in stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 484(C), pages 345-357.
    5. Jose Luis Miralles Marcelo & Jose Luis Miralles Quiros & Maria del Mar Miralles Quiros, 2007. "Sudden shifts in variance in the Spanish market: persistence and spillover effects," Applied Financial Economics, Taylor & Francis Journals, vol. 18(2), pages 115-124.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Terrance Grieb & Mario G. Reyes, 2002. "The temporal relationship between large‐ and small‐capitalization stock returns:," Review of Financial Economics, John Wiley & Sons, vol. 11(2), pages 109-118.
    2. Baele, Lieven, 2005. "Volatility Spillover Effects in European Equity Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 40(2), pages 373-401, June.
    3. Koulakiotis, Athanasios & Babalos, Vassilios & Papasyriopoulos, Nicholas, 2016. "Financial crisis, liquidity and dynamic linkages between large and small stocks: Evidence from the Athens Stock Exchange," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 40(C), pages 46-62.
    4. Abraham, Abraham & Seyyed, Fazal J., 2006. "Information transmission between the Gulf equity markets of Saudi Arabia and Bahrain," Research in International Business and Finance, Elsevier, vol. 20(3), pages 276-285, September.
    5. Christofi, A. & Pericli, A., 1999. "Correlation in price changes and volatility of major Latin American stock markets," Journal of Multinational Financial Management, Elsevier, vol. 9(1), pages 79-93, January.
    6. Brooks, Chris & Henry, Olan T., 2000. "Linear and non-linear transmission of equity return volatility: evidence from the US, Japan and Australia," Economic Modelling, Elsevier, vol. 17(4), pages 497-513, December.
    7. 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.
    8. Connolly, Robert A. & Wang, F. Albert, 2003. "International equity market comovements: Economic fundamentals or contagion?," Pacific-Basin Finance Journal, Elsevier, vol. 11(1), pages 23-43, January.
    9. Ewing, Bradley T. & Malik, Farooq & Ozfidan, Ozkan, 2002. "Volatility transmission in the oil and natural gas markets," Energy Economics, Elsevier, vol. 24(6), pages 525-538, November.
    10. Bekaert, Geert & Harvey, Campbell R., 1997. "Emerging equity market volatility," Journal of Financial Economics, Elsevier, vol. 43(1), pages 29-77, January.
    11. Chang, Eric C. & Michael Pinegar, J. & Ravichandran, R., 1998. "US day-of-the-week effects and asymmetric responses to macroeconomic news," Journal of Banking & Finance, Elsevier, vol. 22(5), pages 513-534, May.
    12. Degiannakis, Stavros & Xekalaki, Evdokia, 2004. "Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review," MPRA Paper 80487, University Library of Munich, Germany.
    13. Tse, Yiuman, 1998. "International transmission of information: evidence from the Euroyen and Eurodollar futures markets," Journal of International Money and Finance, Elsevier, vol. 17(6), pages 909-929, December.
    14. Angel Pardo & Hipòlit Torró, 2007. "Trading with Asymmetric Volatility Spillovers," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 34(9‐10), pages 1548-1568, November.
    15. Kirt Butler & Katsushi Okada, 2009. "The relative contribution of conditional mean and volatility in bivariate returns to international stock market indices," Applied Financial Economics, Taylor & Francis Journals, vol. 19(1), pages 1-15.
    16. Patricia Chelley-Steeley & James Steeley, 2005. "The leverage effect in the UK stock market," Applied Financial Economics, Taylor & Francis Journals, vol. 15(6), pages 409-423.
    17. Bubák, Vít & Kocenda, Evzen & Zikes, Filip, 2011. "Volatility transmission in emerging European foreign exchange markets," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 2829-2841, November.
    18. Frank J. Fabozzi & Radu Tunaru & Tony Wu, 2004. "Modeling Volatility for the Chinese Equity Markets," Annals of Economics and Finance, Society for AEF, vol. 5(1), pages 79-92, May.
    19. John Beirne & Guglielmo Maria Caporale & Marianne Schulze-Ghattas & Nicola Spagnolo, 2013. "Volatility Spillovers and Contagion from Mature to Emerging Stock Markets," Review of International Economics, Wiley Blackwell, vol. 21(5), pages 1060-1075, November.
    20. Usman M. Umer, Metin Coskun, Kasim Kiraci, 2018. "Time-varying Return and Volatility Spillover among EAGLEs Stock Markets: A Multivariate GARCH Analysis," Journal of Finance and Economics Research, Geist Science, Iqra University, Faculty of Business Administration, vol. 3(1), pages 23-42, March.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:revfin:v:11:y:2002:i:2:p:109-118. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/620170 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.