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Mean and variance spillovers among size-sorted UK equity portfolios

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  • Angelos Kanas

Abstract

The paper extends Lo and MacKinlay's 1990 findings by testing for mean and variance spillovers among size-sorted portfolios for the UK stock market. The London Business School Share Price Database, which contains the returns of approximately 6000 companies, is used to construct two sets of size-sorted portfolios using two alternative weighting schemes. Evidence is found of mean and variance spillovers from large- to small-firm portfolios, but not vice versa. This result holds for both weighting schemes. The existence of such spillovers suggests that profitable mean- and variance-based trading strategies exist in the UK stock market.

Suggested Citation

  • Angelos Kanas, 2002. "Mean and variance spillovers among size-sorted UK equity portfolios," Applied Economics Letters, Taylor & Francis Journals, vol. 9(5), pages 319-323.
    • Handle: RePEc:taf:apeclt:v:9:y:2002:i:5:p:319-323
    DOI: 10.1080/13504850110065858
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    Cited by:

    1. Koulakiotis, Athanasios & Dasilas, Apostolos & Papasyriopoulos, Nicholas, 2009. "Volatility and error transmission spillover effects: Evidence from three European financial regions," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(3), pages 858-869, August.

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