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Cross-autocorrelations in European stock returns

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  • Amado Peiró

Abstract

This paper examines lead-lag relationships between monthly index returns from 18 European industries. Several interesting and clear relationships are found that call into question the efficiency of European stock markets. While the Automobiles & Parts sector lags more than half of the other sectors, the Financial Services, Technology, and Telecommunications sectors lead many others. In particular, the leadership of the Technology sector has strengthened in recent years.

Suggested Citation

  • Amado Peiró, 2016. "Cross-autocorrelations in European stock returns," Economics and Business Letters, Oviedo University Press, vol. 5(1), pages 30-37.
    • Handle: RePEc:ove:journl:aid:10993
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    File URL: https://reunido.uniovi.es/index.php/EBL/article/view/10993
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    References listed on IDEAS

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