Does the lead-lag effect exist in stock markets?

Ningyuan Fan, Zhi-Ping Fan, Yongli Li and Meng Li

Applied Economics Letters, 2022, vol. 29, issue 10, 895-900

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.

Date: 2022
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DOI: 10.1080/13504851.2021.1897068

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