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The Intertemporal Cross Price Behavior of Common Stocks: Evidence and Implications
Author(s) -
Hawawini Gabriel A.
Publication year - 1980
Publication title -
journal of financial research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.319
H-Index - 49
eISSN - 1475-6803
pISSN - 0270-2592
DOI - 10.1111/j.1475-6803.1980.tb00047.x
Subject(s) - citation , share price , economics , financial economics , library science , finance , computer science , stock exchange
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.