本研究主要在檢驗變數間訊息傳遞狀況和交錯自我相關的情形,我們建立一個簡單的模型去檢視大小公司間股票變數領先-落後的關係。使用Amihud的非流動性指標做為衡量流動性的工具。實證結果指出,在相關係數檢定下,大小公司同變數間同期相關性很高;在Granger因果關係的檢定下,大公司股票的訊息變數對小公司股票的訊息變數有很強的領先效果。此外,我們也使用了VAR模型及衝擊反應分析來檢驗估計結果是否一致,並且加入外生變數的影響去判斷此衝擊對系統間的影響。而更進一步發現,大公司股票的流動性扮演一個加強變數間交錯自我相關的角色。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.We use Amihud's illiquidity indicator as a tool to measure liquidity here.In results, 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, We can understand that large stock liquidity play an important role in cross-autocorrelations.
