The price adjustment and lead-lag relations between stock returns: microstructure evidence from the Taiwean stock market
نویسندگان
چکیده
This paper investigates the price adjustment and lead-lag relations between returns on five sizebased portfolios in the Taiwan stock market. It finds evidence that the price adjustment of smallstock portfolios is not slower than that of large-stock portfolios. Additionally, limited evidence supports a positive leading role of large-stock portfolio returns over small-stock portfolio returns. These two findings are substantially different from the results of previous research on developed markets. D 2004 Elsevier B.V. All rights reserved. JEL classification: G11; G18
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