Based on the daily and minute data of China's A-share listed companies,this article studies the influencing factors of the lead-lag relationship between stock returns.The results show that larger companies respond more quickly to market information,and their stock returns change earlier than smaller companies.In terms of time series,compared with the results of daily data,the lead-lag effect index of minute level data has a greater attenuation,which indicates that the information effectiveness of a shares in China is constantly improving.In addition,trading volume and analyst coverage are also important factors affecting the lead-lag relationship.
国家科技期刊平台
NSTL
万方数据
维普
