Lead lag Relationship: Analysis of KSE
| Autor: | Atta-ur Rahman, Arsalan Siraj Mir |
|---|---|
| Rok vydání: | 2012 |
| Předmět: |
Marketing
Pharmacology Organizational Behavior and Human Resource Management Heteroscedasticity Index (economics) Financial economics Strategy and Management Autoregressive conditional heteroskedasticity Relationship analysis Pharmaceutical Science Drug Discovery Econometrics Economics Portfolio Lead–lag compensator |
| Zdroj: | Business & Economic Review. 4:44-56 |
| ISSN: | 2519-1233 2074-1693 |
| DOI: | 10.22547/ber/4.2.4 |
| Popis: | This research paper finds the lead lag relationship between the firms listed on the KSE-100 index. Lead lag relationship is analyzed between large and small capitalization portfolios. Moreover, up market and down-market conditions are also explored for finding out the lead lag relationship in the KSE-100 index. Autoregressive Conditional Heteroskedasticity model is used for finding out the effect of symmetric and asymmetric betas on small cap portfolio returns. The results show that there is no lead lag relationship between small cap portfolios and large cap portfolios when the market is not divided into up and down markets. For the asymmetric beats, the analysis shows that there is lead lag relationship between small cap portfolio returns and lagged large cap portfolio returns in the up market. On the other hand, large cap portfolio returns lead small cap portfolio returns in the down market. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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