文章基本信息

标题：Do industries predict the stock market due to slow diffusion of information?
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作者：Attaullah Shah ; Akhtar Munir ; Safiullah Khan 等
期刊名称：African Journal of Business Management
印刷版ISSN：1993-8233
出版年度：2011
卷号：5
期号：34
页码：12958-12965
DOI：10.5897/AJBM11.2067
语种：English
出版社：Academic Journals
摘要：The slow diffusion of information hypothesis has emerged as a more convincing explanation for lead-lag patterns in assets returns compared to traditional explanations such as non-synchronous or thin trading, liquidity factor, or size factor, etc. We provide further support to slow diffusion of information hypothesis from an emerging market. We use a rich data set of weekly returns of 34 industries listed at the Karachi Stock Exchange over the period 1998 to 2011. In a separate regression for each industry, we regress KSE-100 Index current returns on the lagged industry returns and a set of control variables. Our results indicate that a large number of industries predict the market returns up to 3 weeks. The predictive power of industries decreases as we increase the prediction horizon. These findings are robust even after we control for known predictors of market return such as size of an industry, trading volume of an industry, and the lagged trading volume of the market. Our results support the slow diffusion of information hypothesis.
关键词：Lead-lag pattern; slow diffusion of information; Karachi stock exchange; industry returns; returns predictability; Pakistan