Munich Personal RePEc Archive

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.

[img]
Preview
PDF
MPRA_paper_44896.pdf

Download (749kB) | Preview

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.

UB_LMU-Logo
MPRA is a RePEc service hosted by
the Munich University Library in Germany.