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The interaction of switching and lead-lag effects in equity markets

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  • Tariq Haque

    (University of Adelaide)

Abstract

In this article we generalize the Barberis and Shleifer (2003) model of switching. Our model, called the Switching with Leader stocks and Follower stocks model, or SLF model, assumes that a category may comprise leader stocks and follower stocks as documented in Hou (2007). Relative to Barberis and Shleifer (2003), our model may be able to more easily identify switching between categories by focusing on the so-called leader stocks of a category. Our model also implies lead-lag effects within categories may be attributable to the relative performance of the leader stocks of two categories and not one only.

Suggested Citation

  • Tariq Haque, 2011. "The interaction of switching and lead-lag effects in equity markets," Journal of Asset Management, Palgrave Macmillan, vol. 12(5), pages 350-359, November.
    • Handle: RePEc:pal:assmgt:v:12:y:2011:i:5:d:10.1057_jam.2010.29
    DOI: 10.1057/jam.2010.29
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    References listed on IDEAS

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