Cross-autocorrelation in the New Zealand stock market

Daniel Choi and Xin Zhao

Applied Financial Economics, 2007, vol. 17, issue 3, 215-219

Abstract: We examine the New Zealand stock market for evidence of cross-autocorrelation. We find some evidence of both Lo and MacKinlay's (1990) size effect and Chordia and Swaminathan's (2000) volume effect. Moreover, in the size portfolios, the results of cross-autocorrelations are consistent with the findings of Li and Xu (2002) published in Applied Economics Letters. In the size-volume portfolios, this study reveals a special characteristic of the New Zealand stock market that lagged returns of a larger-volume portfolio may not always lead returns of a smaller-volume portfolio.

Date: 2007
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/09603100600675508 (text/html)
Access to full text is restricted to subscribers.

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:taf:apfiec:v:17:y:2007:i:3:p:215-219

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAFE20

DOI: 10.1080/09603100600675508

Access Statistics for this article

Applied Financial Economics is currently edited by Anita Phillips

More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().