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A cointegration approach to the lead-lag effect among size-sorted equity portfolios

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  • Kanas, Angelos
  • Kouretas, Georgios P.

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  • Kanas, Angelos & Kouretas, Georgios P., 2005. "A cointegration approach to the lead-lag effect among size-sorted equity portfolios," International Review of Economics & Finance, Elsevier, vol. 14(2), pages 181-201.
    • Handle: RePEc:eee:reveco:v:14:y:2005:i:2:p:181-201
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    5. Victor Troster & José Penalva & Abderrahim Taamouti & Dominik Wied, 2021. "Cointegration, information transmission, and the lead‐lag effect between industry portfolios and the stock market," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(7), pages 1291-1309, November.
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    7. Jiang, Shi-jie & Nieh, Chien-Chung, 2012. "Dynamics of underwriting profits: Evidence from the U.S. insurance market," International Review of Economics & Finance, Elsevier, vol. 21(1), pages 1-15.
    8. Qamar Ishtiaq & Fahad Abdullah, 2015. "Ownership Concentration and Cross-Autocorrelation in Portfolio Returns," Business & Economic Review, Institute of Management Sciences, Peshawar, Pakistan, vol. 7(2), pages 85-104, October.
    9. Galindo, Arturo J. & Steiner, Roberto, 2022. "Asymmetric interest rate transmission in an inflation-targeting framework: The case of Colombia," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 3(3).
    10. Daxue Wang, 2006. "Cross-Autocorrelation of Dual-Listed Stock Portfolio Returns: Evidence from the Chinese Stock Market," Computing in Economics and Finance 2006 182, Society for Computational Economics.
    11. Ana Monteiro & Nuno Silva & Helder Sebastião, 2023. "Industry return lead-lag relationships between the US and other major countries," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-48, December.
    12. Norman Gemmell & Richard Kneller & Ismael Sanz, 2016. "Does the Composition of Government Expenditure Matter for Long-Run GDP Levels?," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 78(4), pages 522-547, August.

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