Lead-lag patterns between small and large size portfolios in the London stock exchange

Abstract

This paper investigates whether lead-lag patterns similar to those found in the US hold between small and large firm portfolios from the London stock exchange. On finding that such patterns do exist, it then investigates the dynamic linkages between the portfolios using some recently developed techniques of time series econometrics, as these allow for a richer exploration of lead-lag patterns than do standard autocorrelation and cross-correlation analysis.