Modelling the lead-lag effect between dual-class shares

Teppo Martikainen, Jukka Perttunen, Paavo Yli-Olli, A. Gunasekaran

Research output: Contribution to journalArticlepeer-review

2 Scopus citations


The dynamic linkages between the stock market prices of dual-class shares are investigated using Finnish data. It is discovered that the prices of dual-class shares are co-integrated. The vector error correction approach indicates long-term informational feedback from high-voting A shares to low-voting B shares. It thus appears that B shares react more slowly to new information than A shares. This information may be useful when predicting the future returns of B shares.

Original languageEnglish (US)
Pages (from-to)1205-1211
Number of pages7
JournalInternational Journal of Systems Science
Issue number7
StatePublished - Jul 1994

All Science Journal Classification (ASJC) codes

  • Control and Systems Engineering
  • Theoretical Computer Science
  • Computer Science Applications


Dive into the research topics of 'Modelling the lead-lag effect between dual-class shares'. Together they form a unique fingerprint.

Cite this