The Research On The Lead-lag Effects Of Stock Returns In Chinese A-Stock Market

The lead-lag effect of stock returns has long been a subject for academic andpractical research. Based on previous studies, I divided the lead-lag effects into twocategories: intra-industry lead-lag effect and inter-industry lead-lag effect. I observedthe two effects separately and premised the main cause for each of them. I assumedthat, intra-industry lead-lag effect is mainly caused by “market value” facor whileinter-industry lead-lag effect is mainly caused by “customer-supplier” factor. Also, Iassumed that these two factors are completely different in mechanism andindependent of each other.In this essay, I checked the existence of the above two effects in Chinese A-stockmarket respectively. By quantifying the “customer-supplier” factor, I analyzed therelationship between this factor and the inter-industry lead-lag effect. At last, Ichecked the co-existence of the intra-and inter-industry effects and I came up withthe conclusion follows:1. No matter in which lead-lag effect(intra-or inter-), thestronger the “customer-supplier” factor is, the stronger the lead-lag effect will be. Thestrength of the “customer-supplier” factor is given by our quatitative method and thestrength of the lead-lag effect is based on the coefficient of the regression model.2.Both of these two lead-lag effects are affected by these two factors. That means, eventhough these two lead-lag effects seem to be different, they are fundamentally thesame. They are affected differently by each of the factor in various circumstances.