上海管理科学2024，Vol.46Issue(1)：43-48,6.
中国股票市场的领先滞后效应
The Lead-Lag Effect in Chinese Stock Market
黄雨晴 1吴飞1
作者信息
- 1. 上海交通大学 上海高级金融学院,上海 200030
- 折叠
摘要
Abstract
Based on the daily and minute data of China's A-share listed companies,this article studies the influencing factors of the lead-lag relationship between stock returns.The results show that larger companies respond more quickly to market information,and their stock returns change earlier than smaller companies.In terms of time series,compared with the results of daily data,the lead-lag effect index of minute level data has a greater attenuation,which indicates that the information effectiveness of a shares in China is constantly improving.In addition,trading volume and analyst coverage are also important factors affecting the lead-lag relationship.关键词
领先滞后效应/规模/交易量/分析师覆盖率Key words
lead-lag effect/size/trading volume/analyst coverage分类
管理科学引用本文复制引用
黄雨晴,吴飞..中国股票市场的领先滞后效应[J].上海管理科学,2024,46(1):43-48,6.
