DO SECTOR RETURNS LEAD THE STOCK MARKET? THE INTERNATIONAL EVIDENCE

• 발행기관: People & Global Business Association
• 저자명: Mitchell Ratner Ilhan Meric Gulser Meric
• 간행물 정보: 『Global Business and Finance Review』Vol.11 No.2, 1~10쪽, 전체 10쪽
• 주제분류: 경제경영 > 경영학
• 파일형태: PDF
• 발행일자: 2006.12.31

영문 초록

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.

목차

Abstract

INTRODUCTION

DATA

METHODOLOGY & RESULTS

CONCLUSIONS

REFERENCES