Volume- and Size-Related Lead-Lag Effects in Stock Returns and Volatility: An Empirical Investigation of the Warsaw Stock Exchange

Abstract:     
We analyze the autocorrelation structure of returns and volatility of stocks listed in the single auction system on the Warsaw Stock Exchange during the period January 1996 - October 2000. First, we find that size- and volume-related cross-autocorrelation in portfolio returns exists even after accounting for the portfolio's own-autocorrelation. Second, we find that size and volume leadership are independent from each other. Third, our results indicate slower adjustment of the small (low volume) portfolios to market-wide information that differs for up and down markets. We also find evidence for volatility spillovers between portfolio returns.

Keywords: Return predictability, Return autocorrelation, Lead-lag patterns, Emerging market

JEL Classification: G12, G14, O16

working papers series