DO SECTOR RETURNS LEAD THE STOCK MARKET? TIIE INTERNATIONAL EVIDENCE
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This paper investigates the lead/lag relationship between the returns ofa countrys stock market index and 10 primary sector index returns. The sample consists of the Group of Seven (G-7) industrialized countries from January 1974 through December 2003. . This study documents a statistically significant lead/lag relationship between sector returns and the stock market index returns in all seven countries. No sector is consistently significant across countries. The results ofthis study support the gradual information diffusion hypothesis: information travels slowly between asset classes.
Abstract
This paper investigates the lead/lag relationship between the returns ofa countrys stock market index and 10 primary sector index returns. The sample consists of the Group of Seven (G-7) industrialized countries from January 1974 through December 2003. . This study documents a statistically significant lead/lag relationship between sector returns and the stock market index returns in all seven countries. No sector is consistently significant across countries. The results ofthis study support the gradual information diffusion hypothesis: information travels slowly between asset classes.