Modelling the lead-lag effect between dual-class shares

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

doi:10.1080/00207729408949271

Modelling the lead-lag effect between dual-class shares

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

School of Business Administration (Harrisburg)

Research output: Contribution to journal › Article › peer-review

2 Scopus citations

Abstract

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 language	English (US)
Pages (from-to)	1205-1211
Number of pages	7
Journal	International Journal of Systems Science
Volume	25
Issue number	7
DOIs	https://doi.org/10.1080/00207729408949271
State	Published - Jul 1994

All Science Journal Classification (ASJC) codes

Control and Systems Engineering
Theoretical Computer Science
Computer Science Applications

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10.1080/00207729408949271

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title = "Modelling the lead-lag effect between dual-class shares",

abstract = "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.",

author = "Teppo Martikainen and Jukka Perttunen and Paavo Yli-Olli and A. Gunasekaran",

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AU - Gunasekaran, A.

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AB - 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.

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Modelling the lead-lag effect between dual-class shares

Abstract

All Science Journal Classification (ASJC) codes

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