Does the lead-lag effect exist in stock markets?

This paper investigates the lead-lag effect from a complex network perspective. We first detect the lead-lag effect between individual stocks based on CSI 300 index in Chinese stock market and then employed a stochastic actor-oriented model to investigate the interrelationship between the detected lead-lag network and stocks’ characteristics. The main result is that market capitalization, trading volume and financial performance are significant driving factors that form the lead-lag relationship.