RT Journal Article
SR Electronic
T1 Sector Dispersion and Stock Market Predictability
JF The Journal of Investing
FD Institutional Investor Journals
SP 56
OP 61
DO 10.3905/joi.2006.616845
VO 15
IS 1
A1 Mitchell Ratner
A1 Ilhan Meric
A1 Gulser Meric
YR 2006
UL https://pm-research.com/content/15/1/56.abstract
AB This paper investigates the lead/lag relationship between the variation of the 10 primary sector indexes (sector dispersion) with market returns and market volatility. The sample consists of U.S. data from January 1974 through December 2003. This study documents a statistically significant lead/lag relationship between sector dispersion and both market returns and market volatility. Asymmetry analysis reveals that high sector dispersion is a consistent predictor of market volatility. Dispersion is found to be an effective predictor of bear market volatility, and both bull market and bear market returns.TOPICS: Security analysis and valuation, fundamental equity analysis