MODELING THE LEAD-LAG EFFECT BETWEEN DUAL-CLASS SHARES

Authors
MARTIKAINEN T PERTTUNEN J YLIOLLI P GUNASEKARAN A
Citation
T. Martikainen et al., MODELING THE LEAD-LAG EFFECT BETWEEN DUAL-CLASS SHARES, International Journal of Systems Science, 25(7), 1994, pp. 1205-1211
Citations number
12
Categorie Soggetti
System Science","Computer Science Theory & Methods","Operatione Research & Management Science
Journal title
International Journal of Systems Science → ACNP
ISSN journal
00207721
Volume
25
Issue
7
Year of publication
1994
Pages
1205 - 1211
Database
ISI
SICI code
0020-7721(1994)25:7<1205:MTLEBD>2.0.ZU;2-7
Abstract
The dynamic linkages between the stock market prices of dual-class sha res are investigated using Finnish data. It is discovered that the pri ces of dual-class shares are co-integrated. The vector error correctio n 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.