| Abstract: | Previous studies of the stock price response to trades focused on the dynamics of singlestocks, i.e. they addressed the self-response. We empirically investigate the priceresponse of one stock to the trades of other stocks in a correlated market, i.e. thecross-responses. How large is the impact of one stock on others and vice versa? – Thisimpact of trades on the price change across stocks appears to be transient instead ofpermanent as we discuss from the viewpoint of market efficiency. Furthermore, we comparethe self-responses on different scales and the self- and cross-responses on the samescale. We also find that the cross-correlation of the trade signs turns out to be ashort-memory process. |
