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Cross-Autocorrelation between Small and Large Cap Portfolios in the German and Turkish Stock Markets

Author

Listed:
  • Erdinc Altay

    (University of Istanbul, Faculty of Economics)

Abstract

This paper studies the cross-autocorrelation structure in the German and Turkish stock markets by using daily portfolio returns. We find the evidence that large cap portfolios lead small cap portfolios in both subperiods of German stock market but this structure is seen only in the first subperiod of Turkish stock market. Analysing the market-wide and portfolio-specific information effects on portfolio returns shows that above stated lead-lag relation is associated with the market-wide information content in lagged large cap portfolio returns. We also document a directional asymmetry in small (large) cap portfolio returns’ reactions to lagged large (small) cap portfolio returns. The evidence is contradicting to the previous findings of McQueen, Pinegar and Thorley (1996) and Marshall and Walker (2002) whoose researches are conducted on US and Chile stock markets. Our findings show the lagged effects of bad news - not good news - on small cap portfolio returns. It is documented that the speed of adjustment of small cap portfolio prices to common market-wide information is slower than large cap portfolio prices and small cap portfolio prices are slower in reacting to bad news.

Suggested Citation

  • Erdinc Altay, 2003. "Cross-Autocorrelation between Small and Large Cap Portfolios in the German and Turkish Stock Markets," Finance 0308005, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpfi:0308005
    Note: Type of Document - Acrobat PDF; prepared on IBM PC ; to print on PostScript; pages: 28; figures: included
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    File URL: https://econwpa.ub.uni-muenchen.de/econ-wp/fin/papers/0308/0308005.pdf
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    References listed on IDEAS

    as
    1. Andy C. W. Chui & Chuck C. Y. Kwok, 1998. "Cross-Autocorrelation Between A Shares And B Shares In The Chinese Stock Market," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 21(3), pages 333-353, September.
    2. Chui, Andy C W & Kwok, Chuck C Y, 1998. "Cross-Autocorrelation between A Shares and B Shares in the Chinese Stock Market," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 21(3), pages 333-353, Fall.
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    Cited by:

    1. Qamar Ishtiaq & Fahad Abdullah, 2015. "Ownership Concentration and Cross-Autocorrelation in Portfolio Returns," Business & Economic Review, Institute of Management Sciences, Peshawar, Pakistan, vol. 7(2), pages 85-104, October.
    2. Daxue Wang, 2006. "Cross-Autocorrelation of Dual-Listed Stock Portfolio Returns: Evidence from the Chinese Stock Market," Computing in Economics and Finance 2006 182, Society for Computational Economics.
    3. Kenneth Högholm & Johan Knif & Gregory Koutmos & Seppo Pynnönen, 2021. "Financial crises and the asymmetric relation between returns on banks, risk factors, and other industry portfolio returns," The Financial Review, Eastern Finance Association, vol. 56(1), pages 179-198, February.

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    More about this item

    Keywords

    German stock market ; Turkish stock market ; Cross- autocorrelation ; Market-wide and portfolio-specific information ; Asymmetric reaction;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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