The intertemporal cross-price behavior of common stocks: Evidence and impications

Hawawini, Gabriel (1980): The intertemporal cross-price behavior of common stocks: Evidence and impications. Published in: Journal of Financial Research , Vol. 5, (1980): pp. 153-167.

Abstract

The paper presents a measure of the intertemporal cross correlation between two time series and reports evidence of the presence of intertemporal cross dependence between the returns of NYSE stocks and those of the SP 500, showing that frequently traded stocks behave differently from stocks with thinner markets.

• Item Type: MPRA Paper
• Language: English
• Keywords: intertemporal cross correlation; times series analysis of stock returns; trading frequency; market thinness
• Subjects: G - Financial Economics > G1 - General Financial Markets > G10 - General; G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency ; Event Studies ; Insider Trading

References

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Hawawini, G. "The Intertemporal Cross Price Behavior of Common Stocks: Evidence and Implications", Journal of Financial Research, Volume 5, Fall 1980, pp. 153-167.

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