The Cross-Autocorrelation of Size-Based Portfolio Returns in Europe

Mitchell Ratner, Gulser Meric, Ilhan Meric

Research output: Contribution to journalReview articlepeer-review


This study examines the cross-autocorrelation of size-based portfolio returns in a sample of 15 major European markets using daily data from January 1990 through December 1999. Previous studies have primarily used U.S. data. This study extends previous research by considering results in multiple European exchanges. We examine whether a difference in size-based portfolios exists by testing cross-autocorrelation, granger-causality, and asymmetric responses in the European markets. The results confirm that large stock portfolio returns lead small stock portfolio returns in most European countries, and that cross-autocorrelation is present both within and between European financial markets.

Original languageEnglish (US)
Pages (from-to)42-60
Number of pages19
JournalStudies in Economics and Finance
Issue number1
StatePublished - Jan 1 2004

All Science Journal Classification (ASJC) codes

  • Economics, Econometrics and Finance(all)


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