dc.contributor.author | Choi, Daniel F.S. | |
dc.contributor.author | Zhao, Xin | |
dc.date.accessioned | 2009-01-29T03:24:11Z | |
dc.date.available | 2009-01-29T03:24:11Z | |
dc.date.issued | 2007 | |
dc.identifier.citation | Choi, D. & Zhao, X. (2007). Cross-autocorrelation in the New Zealand stock market. Applied Financial Economics, 17(3), 215-219. | en |
dc.identifier.uri | https://hdl.handle.net/10289/1913 | |
dc.description.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. | en |
dc.language.iso | en | |
dc.publisher | Routledge | en_NZ |
dc.relation.uri | http://www.informaworld.com/smpp/content~content=a770800881~db=all~order=page | en |
dc.subject | New Zealand | en |
dc.subject | stock market | en |
dc.subject | cross-autocorrelation | en |
dc.title | Cross-autocorrelation in the New Zealand stock market | en |
dc.type | Journal Article | en |
dc.identifier.doi | 1080/09603100600675508 | en |
dc.relation.isPartOf | Applied Financial Economics | en_NZ |
pubs.begin-page | 215 | en_NZ |
pubs.elements-id | 32280 | |
pubs.end-page | 219 | en_NZ |
pubs.issue | 1-3 | en_NZ |
pubs.volume | 17 | en_NZ |