Abstract: The paper researches the cross-autocorrelations among stock portfolios with different sizes of circulation.The significantly negative lead-lag correlations of smaller portfolios to bigger portfolios indicate that the traditional information transm ission mechanism based on the difference of price adjustment speeds doesn't exist in Chinese stock market.It maybe gives the unusual phenomenon a possible explanation from the angle of the special investor compositions and investor behaviors in Chinese stock market.We also find that the weak long memory characteristic has significant impact on the cross-autocorrelations among the size-based portfolios and the cross-autocorrelation weakens or disappears after eliminating the influence of long memory.

Key words: cross-autocorrelation, price adjustment, long memory, investor composition