The microstructure of cross-autocorrelations

Arbeitspapier

This paper examines the mechanism through which the incorporation of information into prices leads to cross-autocorrelations in stock returns. The lead-lag relation between large and small stocks increases with lagged spreads of large stocks. Further, order flows in large stocks significantly predict the returns of small stocks when large stock spreads are high. This effect is consistent with the notion that trading on common information takes place first in the large stocks and is then transmitted to smaller stocks with a lag, suggesting that price discovery takes place in the large stocks.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Staff Report ; No. 303

Classification and Topics

• Classification: Wirtschaft ; General Financial Markets: General (includes Measurement and Data) ; Information and Market Efficiency; Event Studies; Insider Trading
• Subject: lead-lag, returns, small stocks, large stocks, microstructure, information ; Börsenkurs ; Mikrostrukturanalyse

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Chordia, Tarun ; Sarkar, Asani ; Subrahmanyam, Avanidhar
• Event: Veröffentlichung
• (who): Federal Reserve Bank of New York
• (where): New York, NY
• (when): 2007

Further information

• Handle: http://hdl.handle.net/10419/60537
• Last update: 10.03.2025, 11:42 AM CET