Abstract
We explore whether systematic lead-lag relationships exist among the returns of small and large portfolios and whether such portfolios show symmetrical responses to good and bad news. Regression analysis conducted on sample small and large portfolios selected from listings at the Karachi Stock Exchange shows that small stocks follow large stocks quickly in bear-market conditions but slowly in bull-market conditions. This implies that positive information is absorbed more slowly in the prices of smaller stocks than in that of larger stocks.
Keywords
Lead-leg relationship, Directional Assymetry, Smallest and Largest Stocks, Karachi Stock Echange
DOI
https://doi.org/10.54784/1990-6587.1064
Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 International License.
Recommended Citation
Rehman, A. U., & Shah, A. (2016). Lead lag relationship and directional asymmetry in stock returns of small and large portfolios: Evidence from the Karachi Stock Exchange. Business Review, 11(2), 1-15. Retrieved from https://doi.org/10.54784/1990-6587.1064
