Ownership Concentration and Cross-Autocorrelation in Portfolio Returns

Qamar Ishtiaq () and Fahad Abdullah
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Qamar Ishtiaq: Quaid-e-Azam College of Commerce, University of Peshawar
Fahad Abdullah: Institute of Management Sciences, Peshawar

Business & Economic Review, 2015, vol. 7, issue 2, 85-104

Abstract: This study investigates cross-autocorrelation in portfolio returns which are formed on the basis of ownership concentration. The study randomly selected seventy-two firms that are listed at the Karachi Stock Exchange. Eight portfolios were formed based on ownership concentration, with each portfolio comprising of nine firms. Equally-weighted daily and weekly returns were calculated for these portfolios. Vector Auto-Regressive (VAR) and Auto-Regressive Conditional Heteroskedasticity (ARCH) models were employed to analyze the cross-autocorrelation among the portfolio returns. The results revealed that portfolios having higher concentration of ownership lead the returns of portfolio having lower concentration of ownership. The lead-lag relationship was found in daily returns for up to three days only. No evidence was found for lead-lag pattern in weakly returns

Keywords: Cross-autocorrelation; portfolio; VAR; ARCH (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:bec:imsber:v:7:y:2015:i:2:p:85-104

DOI: 10.22547/BER/7.2.5

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