2006•Shuxue de shijian yu renshiRequires access
Empirical Study of the Relationship Between Large Stock and Small Stock Returns in China Stock Market
Wang Qingshi, Guo Duo-zuo
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Abstract
This paper investigates the relationship between Large Stock and Small Stock Returns in China stock market,indicating that there exists strong relativity between Large Stock and Small Stock Returns during both bull market periods and bear market phases.The extent of autocorrelation of Large stock returns is much higher than that of Small stock during bear periods and change in prices of Large Stock has some trend.Prices of Large stock and Small stock are Unit root,but not Cointegration,Their returns are stable,there exists bidirectional Lead-Lag relationship between Large stock returns and Small stock returns at both bull market and bear market phases.