6533b7d3fe1ef96bd12608cf

RESEARCH PRODUCT

Cross-autocorrelations in European stock returns

Amado Peiró

subject

040101 forestry050208 financebusiness.industryFinancial economics05 social sciences04 agricultural and veterinary sciencesInternational trade0502 economics and businessEconomics0401 agriculture forestry and fisheriesBusiness and International ManagementbusinessGeneral Economics Econometrics and FinanceStock (geology)Financial services

description

This paper examines lead-lag relationships between monthly index returns from 18 European industries. Several interesting and clear relationships are found that call into question the efficiency of European stock markets. While the Automobiles & Parts sector lags more than half of the other sectors, the Financial Services, Technology, and Telecommunications sectors lead many others. In particular, the leadership of the Technology sector has strengthened in recent years.

yearjournalcountryeditionlanguage
2016-05-05Economics and Business Letters
https://doi.org/10.17811/ebl.5.1.2016.30-37