Cross-autocorrelation in the New Zealand stock market

• Autores: Daniel F. S. Choi, X. Zhao
• Localización: Applied financial economics, ISSN 0960-3107, Vol. 17, Nº. 1-3, 2007, págs. 215-219
• Idioma: inglés
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• Resumen

  • 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.