Does the lead-lag effect exist in stock markets?

ABSTRACT

This paper investigates the lead-lag effect from a complex network perspective. We first detect the lead-lag effect between individual stocks based on CSI 300 index in Chinese stock market and then employed a stochastic actor-oriented model to investigate the interrelationship between the detected lead-lag network and stocks’ characteristics. The main result is that market capitalization, trading volume and financial performance are significant driving factors that form the lead-lag relationship.

KEYWORDS:

• Lead-lag effect
• stock network
• network dynamics
• stochastic actor-oriented model

JEL CLASSIFICATION:

• D85
• G10
• C51

Disclosure statement

No potential conflict of interest was reported by the authors.

Correction Statement

This article has been republished with minor changes. These changes do not impact the academic content of the article.

Additional information

Funding

This work was partly supported by the National Natural Science Foundation of China under Grants 71771041 and 71503060 and the 111 Project (B16009).