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Volume- and size-related lead–lag effects in stock returns and volatility: An empirical investigation of the Warsaw Stock Exchange

Lookup NU author(s): Professor Bartosz GebkaORCiD

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Abstract

We analyze the autocorrelation structure of returns and volatility of stocks listed in the single auction system on the Warsaw Stock Exchange during the period January 1996 – October 2000. First, we find that size- and volume-related cross-autocorrelation in portfolio returns exists even after accounting for the portfolio's own-autocorrelation. Second, we find that size and volume leadership are independent from each other. Third, our results indicate slower adjustment of the small (low volume) portfolios to market-wide information that differs for up and down markets. We also find evidence for volatility spillovers between portfolio returns.

Publication metadata

Author(s): Gebka B

Publication type: Article

Publication status: Published

Journal: International Review of Financial Analysis

Year: 2008

Volume: 17

Issue: 1

Pages: 134-155

ISSN (print): 1057-5219

ISSN (electronic): 1873-8079

Publisher: Elsevier

URL: http://dx.doi.org/10.1016/j.irfa.2005.07.002

DOI: 10.1016/j.irfa.2005.07.002

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