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Cross-autocorrelation in the New Zealand stock market

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  • Daniel Choi
  • Xin Zhao

Abstract

We examine the New Zealand stock market for evidence of cross-autocorrelation. We find some evidence of both Lo and MacKinlay's (1990) size effect and Chordia and Swaminathan's (2000) volume effect. Moreover, in the size portfolios, the results of cross-autocorrelations are consistent with the findings of Li and Xu (2002) published in Applied Economics Letters. In the size-volume portfolios, this study reveals a special characteristic of the New Zealand stock market that lagged returns of a larger-volume portfolio may not always lead returns of a smaller-volume portfolio.

Suggested Citation

  • Daniel Choi & Xin Zhao, 2007. "Cross-autocorrelation in the New Zealand stock market," Applied Financial Economics, Taylor & Francis Journals, vol. 17(3), pages 215-219.
    • Handle: RePEc:taf:apfiec:v:17:y:2007:i:3:p:215-219
    DOI: 10.1080/09603100600675508
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    Cited by:

    1. Robert Rutledge & Zhaohui Zhang & Khondkar Karim, 2008. "Is There a Size Effect in the Pricing of Stocks in the Chinese Stock Markets?: The Case of Bull Versus Bear Markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 15(2), pages 117-133, June.
    2. Ikram ul Haq & Kashif Rashid, 2014. "Stock Market Efficiency and Size of the Firm: Empirical Evidence from Pakistan," Oeconomics of Knowledge, Saphira Publishing House, vol. 6(1), pages 10-31, March.

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