International stock return co-movements and trading activity

Sheng, Xin, Brzeszczynski, Janusz and Ibrahim, Boulis (2017) International stock return co-movements and trading activity. Finance Research Letters. ISSN 1544-6123 (In Press)

[img] Text
Manuscript.pdf - Accepted Version
Restricted to Repository staff only until 9 June 2018.

Download (416kB) | Request a copy
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: Article
Uncontrolled Keywords: Return spillovers, Trading volume, Interaction effects, GARCH models
Subjects: L100 Economics
N100 Business studies
Department: Faculties > Business and Law > Newcastle Business School > Accounting and Finance
Depositing User: Becky Skoyles
Date Deposited: 31 Jul 2017 09:39
Last Modified: 31 Jul 2017 10:22
URI: http://nrl.northumbria.ac.uk/id/eprint/31440

Actions (login required)

View Item View Item

Downloads

Downloads per month over past year

View more statistics


Policies: NRL Policies | NRL University Deposit Policy | NRL Deposit Licence