Cross-autocorrelations in European stock returns

  1. Amado Peiró 1
  1. 1 Universitat de València
    info

    Universitat de València

    Valencia, España

    ROR https://ror.org/043nxc105

Revista:
Economics and Business Letters

ISSN: 2254-4380

Año de publicación: 2016

Volumen: 5

Número: 1

Páginas: 30-37

Tipo: Artículo

DOI: 10.17811/EBL.5.1.2016.30-37 DIALNET GOOGLE SCHOLAR lock_openDialnet editor

Otras publicaciones en: Economics and Business Letters

Objetivos de desarrollo sostenible

Resumen

This paper examines lead-lag relationships between monthly index returns from 18 European industries. Several interesting and clear relationships are found that call into question the efficiency of European stock markets. While the Automobiles & Parts sector lags more than half of the other sectors, the Financial Services, Technology, and Telecommunications sectors lead many others. In particular, the leadership of the Technology sector has strengthened in recent years.

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Fuente de los datos: Dialnet