Lead lag Relationship: Analysis of KSE

Arsalan Siraj Mir () and Attaur Rahman
Additional contact information
Arsalan Siraj Mir: Institute of Management Sciences, Peshawar
Attaur Rahman: Institute of Management Sciences, Peshawar

Business & Economic Review, 2012, vol. 4, issue 2, 44-56

Abstract: This research paper finds the lead lag relationship between the firms listed on the KSE-100 index. Lead lag relationship is analyzed between large and small capitalization portfolios. Moreover, up market and down-market conditions are also explored for finding out the lead lag relationship in the KSE-100 index. Autoregressive Conditional Heteroskedasticity model is used for finding out the effect of symmetric and asymmetric betas on small cap portfolio returns. The results show that there is no lead lag relationship between small cap portfolios and large cap portfolios when the market is not divided into up and down markets. For the asymmetric beats, the analysis shows that there is lead lag relationship between small cap portfolio returns and lagged large cap portfolio returns in the up market. On the other hand, large cap portfolio returns lead small cap portfolio returns in the down market.

Keywords: Capitalization; heteroskedasticity; asymmetric beats; porfolio (search for similar items in EconPapers)
JEL-codes: G10 G21 G32 (search for similar items in EconPapers)
Date: 2012
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://imsciences.edu.pk/files/journals/Vol.%204.% ... ta%20ur%20Rahman.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bec:imsber:v:4:y:2012:i:2:p:44-56

DOI: 10.22547/BER/4.2.4

Access Statistics for this article

More articles in Business & Economic Review from Institute of Management Sciences, Peshawar, Pakistan Institute of Management Sciences 1-A, Sector E-5, Phase VII, Hayatabad, Peshawar- Pakistan. Contact information at EDIRC.
Bibliographic data for series maintained by Dr. Attaullah Shah ().