Lead-lag relationships in an embryonic stock market: exploring the role of institutional ownership and liquidity

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Lead-lag relationships in an embryonic stock market: exploring the role of institutional ownership and liquidity

This paper investigates the influence of institutional ownership and liquidity on stock return relationships for an embryonic and relatively illiquid stock market. Using daily, individual stock data for Trinidad and Tobago from 2001 to 2015 and a VAR modelling approach, we find for firms of all size...

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Bibliographic Details
Main Authors:	Arjoon, Vaalmikki, Bougheas, Spiros, Milner, Chris
Format:	Article
Published:	Elsevier 2016
Subjects:	Cross autocorrelation; institutions; embryonic market
Online Access:	https://eprints.nottingham.ac.uk/33285/

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