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Cross-autocorrelation in the New Zealand stock market

Abstract
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.
Type
Journal Article
Type of thesis
Series
Citation
Choi, D. & Zhao, X. (2007). Cross-autocorrelation in the New Zealand stock market. Applied Financial Economics, 17(3), 215-219.
Date
2007
Publisher
Routledge
Degree
Supervisors
Rights
Publisher version