Of Shepherds, Sheep, and the Cross-autocorrelations in Equity Returns

Do foreigners facilitate information transmission in emerging markets?

“…We use this variable as our measure of the extent of the severity of the restriction on foreign investor participation affecting each stock. 1 In order to eliminate outliers and errors, we apply a number of filters to our sample.…”

“…Brennan, Jegadeesh and Swaminathan (1993) find that returns on firms followed by many analysts tend to lead returns on firms followed by fewer analysts. Badrinath, Kale and Noe (1995) show that returns on firms with high institutional ownership lead the returns on firms with low institutional ownership. Chordia and Swaminathan (2000) provide evidence that returns on stocks with high trading volume lead returns on stocks with low trading volume.…”

Stock Return Cross‐Autocorrelations and Market Conditions in Japan*

“…1 The asymmetry in return cross-autocorrelations has been attributed to sluggish adjustment of stock prices to common information (Lo and MacKinlay (1990), Brennan, Jegadeesh, and Swaminathan (1993), Mech (1993), Badrinath, Kale, and Noe (1995), McQueen, Pinegar, and Thorley (1996), and Chordia and Swaminathan (2000)). These papers suggest that firm-specific characteristics such as firm size, analyst coverage, transaction costs, institutional ownership and trading volume help to explain the cross-sectional differences in the adjustment of stock prices to common information.…”

Dynamics of intraday serial correlation in the Italian futures market

“…non-synchronous trading (Lo and MacKinlay, 1990a) or institutional factors (Boudoukh et al, 1994), and on the other side to advocate for bounded rationality in financial markets, e.g. Cutler et al (1991); Jegadeesh and Titman (1993); Badrinath et al (1995).…”