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Type: Conference paper
Title: The interaction of switching and lead-lag effects in the Australian stock market
Author: Haque, T.
Citation: Proceedings of the 2009 AFAANZ Conference, 2009: pp.1-47
Publisher: AFAANZ
Publisher Place: online
Issue Date: 2009
Conference Name: AFAANZ Conference (2009 : Adelaide, Australia)
Statement of
Tariq Haque
Abstract: This study draws on the lead-lag literature to extend the Barberis and Shleifer (2003) model of switching. While the Barberis and Shleifer model assumes stocks in a given category are of equal importance, this study assumes a category comprises leader stocks and follower stocks. The sentiment of investors towards categories may then be governed by the relative performance of the leader stocks of two categories and may imply a switch into the leader stocks of a particular category first, followed by a subsequent lead-lag effect for that category. Empirical tests using daily returns to Australian industry portfolios suggests that this model of switching involving heterogeneous stocks within a category is a more accurate representation of how switching occurs in equity markets.
Keywords: categories
relative returns
Rights: Copyright ©2002-2008 Zakon Group LLC
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Appears in Collections:Aurora harvest
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