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dc.contributor.authorChoi, Daniel F.S.
dc.contributor.authorZhao, Xin
dc.date.accessioned2009-01-29T03:24:11Z
dc.date.available2009-01-29T03:24:11Z
dc.date.issued2007
dc.identifier.citationChoi, D. & Zhao, X. (2007). Cross-autocorrelation in the New Zealand stock market. Applied Financial Economics, 17(3), 215-219.en
dc.identifier.urihttps://hdl.handle.net/10289/1913
dc.description.abstractWe 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.en
dc.language.isoen
dc.publisherRoutledgeen_NZ
dc.relation.urihttp://www.informaworld.com/smpp/content~content=a770800881~db=all~order=pageen
dc.subjectNew Zealanden
dc.subjectstock marketen
dc.subjectcross-autocorrelationen
dc.titleCross-autocorrelation in the New Zealand stock marketen
dc.typeJournal Articleen
dc.identifier.doi1080/09603100600675508en
dc.relation.isPartOfApplied Financial Economicsen_NZ
pubs.begin-page215en_NZ
pubs.elements-id32280
pubs.end-page219en_NZ
pubs.issue1-3en_NZ
pubs.volume17en_NZ


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