Cross-autocorrelations in European stock returns

Amado Peiró

Abstract


This paper examines lead-lag relationships between monthly index returns from 18 European industries. Several interesting and clear relationships are found that call into question the efficiency of European stock markets. While the Automobiles & Parts sector lags more than half of the other sectors, the Financial Services, Technology, and Telecommunications sectors lead many others. In particular, the leadership of the Technology sector has strengthened in recent years.

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DOI: https://doi.org/10.17811/ebl.5.1.2016.30-37

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ISSN: 2254-4380