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论文类型： 会议论文

发表时间： 2011-01-01

收录刊物： CPCI-SSH

页面范围： 100-105

关键字： lead lag relationship; autocorrelation; cross correlation

摘要： This paper empirically investigate volume related asymmetry predictability(lead lag relationship) by selecting samples from Shang Hai stock market in China. Results indicate that there exists volume related lead lag relationship when controlling for autocorrelation in daily returns and dependent to size effect (size related lead lag relationship). Further research show this lead lag relationship is due to different adjustment of different volume portfolio to marketwide information. And volume related lead lag relationship in daily returns in china stock market can to some extent put forward instructive suggestions for Chinese investors.