Market capitalisation, cross-correlations, the lead/lag structure and microstructure effects in the Indian stock market
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Cited by:
- Hearn, Bruce, 2010. "Time varying size and liquidity effects in South Asian equity markets: A study of blue-chip industry stocks," International Review of Financial Analysis, Elsevier, vol. 19(4), pages 242-257, September.
- Drakos, Anastassios A., 2016. "Does the relationship between small and large portfolios’ returns confirm the lead–lag effect? Evidence from the Athens Stock Exchange," Research in International Business and Finance, Elsevier, vol. 36(C), pages 546-561.
- Takaki Hayashi & Yuta Koike, 2017. "No arbitrage and lead-lag relationships," Papers 1712.09854, arXiv.org.
- Arjoon, Vaalmikki & Bougheas, Spiros & Milner, Chris, 2016. "Lead-lag relationships in an embryonic stock market: Exploring the role of institutional ownership and liquidity," Research in International Business and Finance, Elsevier, vol. 38(C), pages 262-276.
- Gustavo Rezende de Oliveira & Otavio Ribeiro de Medeiros, 2009. "Testing the Existence of Lead-Lag Effects Between the US and Brazilian Stock Markets," Brazilian Business Review, Fucape Business School, vol. 6(1), pages 1-20, January.
- Camilleri, Silvio John & Green, Christopher J., 2014. "Stock market predictability: Non-synchronous trading or inefficient markets? Evidence from the National Stock Exchange of India," MPRA Paper 95302, University Library of Munich, Germany.
- Hayashi, Takaki & Koike, Yuta, 2019. "No arbitrage and lead–lag relationships," Statistics & Probability Letters, Elsevier, vol. 154(C), pages 1-1.
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