In this paper, we show that changes in market conditions significantly affect cross-autocorrelations in short-horizon stock returns in Japan. We find strong weak cross-autocorrelations between returns on small firms and lagged returns on large firms following periods of aggregate market losses gains.

This asymmetric effect of lagged market state on cross-autocorrelations cannot be explained by market micro-structure biases such as non-synchronous trading and thin trading.

Further analyses suggest that lack of aggregate trading activity following periods of market decline contribute to the delays in registering negative market-wide information in stock prices, particularly for small stocks. Hameed, Allaudeen and Kusnadi, Yuanto, Stock Return Cross-Autocorrelations and Market Conditions in Japan June Mochtar Riady Building 15 Kent Ridge Drive Singapore, Singapore.

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Stock Return Cross-Autocorrelations and Market Conditions in Japan by Allaudeen Hameed, Yuanto Kusnadi :: SSRN

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Download this Paper Open PDF in Browser Share: Using the URL or DOI link below will ensure access to this page indefinitely. Allaudeen Hameed National University of Singapore NUS - Department of Finance Yuanto Kusnadi Singapore Management University - School of Accountancy.

Stock Return Cross-Autocorrelations and Market Conditions in Japan by Allaudeen Hameed, Yuanto Kusnadi :: SSRN

Abstract In this paper, we show that runescape stock market watch games in market conditions significantly affect cross-autocorrelations in short-horizon stock returns in Japan. Allaudeen Hameed Contact Author National University of Singapore NUS - Department of Finance email Mochtar Riady Building 15 Kent Ridge Drive Singapore, Singapore HOME PAGE: Download this Paper Open PDF in Browser.

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