학술저널
DO SECTOR RETURNS LEAD THE STOCK MARKET? THE INTERNATIONAL EVIDENCE
- People & Global Business Association
- Global Business and Finance Review
- Vol.11 No.2
-
2006.121 - 10 (10 pages)
- 2
This paper investigates the lead/lag relationship between the returns of a country's stock market index and 10 primary sector index returns. The sample consists of the Group of Seven (G-7) industrialized countries from January 1974 through December 2003. This study documents a statistically significant lead/lag relationship between sector returns and the stock market index returns in all seven countries. No sector is consistently significant across countries. The results of this study support the gradual information diffusion hypothesis: information travels slowly between asset classes.
Abstract
INTRODUCTION
DATA
METHODOLOGY & RESULTS
CONCLUSIONS
REFERENCES
(0)
(0)