| Summary: | 碩士 === 國立臺灣大學 === 國際企業學研究所 === 96 === Due to friction existing in the market and constraints of information diffusion, the speed each firm reacts to the information varies. And because those different speeds of reactions influence the speed of stock price adjustment, it is possible that there might be certain asymmetric lead-lag effects existing in the stock market.
If there is lead-lag effect, then which variable is the determinant, and whether the lead-effect contains a persistent and highly significant industry component are the issues worth discussed. Moreover, I want to find out if there are any other alternative determinants which can also result in lead-lag effects.
This study is based on the method used by Hou (2007) estimating the lead-lag effects in American stock market to test the intra-industry (inter-industry) lead-lag effects among the weekly stock returns on the Taiwan Stock Exchange from 1st January, 1986 to 31st December, 2006.
First, I estimate within industries, whether the lead-lag effect is caused from firm size. Then compare the intra-industry lead-lag effects and the inter-industry lead-lag effects based on the firm-size variable, and figure out if the industry-specific information is the primary source of lead-lag effects. Finally, I test other possible variables such as institutional ownership, turnover, and sales and see without influences from firm size, are they the alternative determinates causing intra-industry lead-lag effects.
The results indicate that:
1. Within the same industry, the stock returns of big firms lead the stock returns of small firms significantly.
2. Based on the firm-size variable, the lead-lag effect within industries is significantly stronger than the lead-lag effect across industries.
3. Under the condition of removing the influences of firm size, institutional ownership, turnover, and sales are also the determinants of lead-lag effects within industries.
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