Sheng, Xin, Brzeszczynski, Janusz and Ibrahim, Boulis M. (2017) International Stock Return Co-movements and Trading Activity. Finance Research Letters, 23. pp. 12-18. ISSN 1544-6123
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 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.

Information
Library
Documents
[img]
Preview
1-s2 0-S154461231630335X-main.pdf - Accepted Version
Available under License Creative Commons Attribution Non-commercial No Derivatives.

Download (688kB) | Preview
Statistics

Downloads

Downloads per month over past year

Add to AnyAdd to TwitterAdd to FacebookAdd to LinkedinAdd to PinterestAdd to Email