International stock return co-movements and trading activity

Sheng, Xin and Brzeszczyński, Janusz and Ibrahim, Boulis M. (2017) International stock return co-movements and trading activity. Finance Research Letters, 23. pp. 12-18. ISSN 1544-6123

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Official URL: https://doi.org/10.1016/j.frl.2017.06.006

Abstract

This paper analyses return co-movements across eight major international stock markets while considering the nature of motives to trade for a given daily price change. Daily volume as an information signal is dissected into quintiles and its interaction with returns is examined. The results show that international return spillover effects are sensitive to different levels of trading activity and price changes driven by liquidity-based and information-based trades can both spill over across borders. We find that trades originating in Asia are information-based, those originating in America are liquidity-based, and those originating in Europe are a mixture of these two types.

Item Type: Journal Article
Keywords: Return spillovers, Trading volume, Interaction effects, GARCH models
Faculty: ARCHIVED Lord Ashcroft International Business School (until September 2018)
Depositing User: Lisa Blanshard
Date Deposited: 06 Apr 2020 14:22
Last Modified: 06 Apr 2020 14:23
URI: http://arro.anglia.ac.uk/id/eprint/705390

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