The intertemporal cross-price behavior of common stocks: Evidence and impications

Gabriel Hawawini ()

MPRA Paper from University Library of Munich, Germany

Abstract: The paper presents a measure of the intertemporal cross correlation between two time series and reports evidence of the presence of intertemporal cross dependence between the returns of NYSE stocks and those of the SP 500, showing that frequently traded stocks behave differently from stocks with thinner markets.

Keywords: intertemporal cross correlation; times series analysis of stock returns; trading frequency; market thinness (search for similar items in EconPapers)
JEL-codes: G10 G14 (search for similar items in EconPapers)
Date: 1980
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: The Intertemporal Cross Price Behavior of Common Stocks: Evidence and Implications (1980)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:44896

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