Liquidity Dynamics and Cross-Autocorrelations
研究了信息传递如何导致大股票与小股票之间的交叉自相关，发现大股票流动性差会增强这种领先滞后关系，且宏观公告前更明显。
Abstract This paper examines the relation between information transmission and cross-autocorrelations. We present a simple model, where informed trading is transmitted from large to small stocks with a lag. In equilibrium, large stock illiquidity induced by informed trading portends stronger cross-autocorrelations. Empirically, we find that the lead-lag relation increases with lagged large stock illiquidity. Further, the lead from large stock order flows to small stock returns is stronger when large stock spreads are higher. In addition, this lead-lag relation is stronger before macro announcements (when information-based trading is more likely) and weaker afterward (when information asymmetries are lower).