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Does the lead-lag effect exist in stock markets?

Author

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  • Ningyuan Fan
  • Zhi-Ping Fan
  • Yongli Li
  • Meng Li

Abstract

This paper investigates the lead-lag effect from a complex network perspective. We first detect the lead-lag effect between individual stocks based on CSI 300 index in Chinese stock market and then employed a stochastic actor-oriented model to investigate the interrelationship between the detected lead-lag network and stocks’ characteristics. The main result is that market capitalization, trading volume and financial performance are significant driving factors that form the lead-lag relationship.

Suggested Citation

  • Ningyuan Fan & Zhi-Ping Fan & Yongli Li & Meng Li, 2022. "Does the lead-lag effect exist in stock markets?," Applied Economics Letters, Taylor & Francis Journals, vol. 29(10), pages 895-900, June.
    • Handle: RePEc:taf:apeclt:v:29:y:2022:i:10:p:895-900
    DOI: 10.1080/13504851.2021.1897068
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    Cited by:

    1. Jian Guo & Saizhuo Wang & Lionel M. Ni & Heung-Yeung Shum, 2022. "Quant 4.0: Engineering Quantitative Investment with Automated, Explainable and Knowledge-driven Artificial Intelligence," Papers 2301.04020, arXiv.org.
    2. Ana Monteiro & Nuno Silva & Helder Sebastião, 2023. "Industry return lead-lag relationships between the US and other major countries," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-48, December.

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