Sheng, Xin, Brzeszczynski, Janusz and Ibrahim, Boulis (2017) International stock return co-movements and trading activity. Finance Research Letters, 23. pp. 12-18. ISSN 1544-6123
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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 |
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| Uncontrolled Keywords: | Return spillovers, Trading volume, Interaction effects, GARCH models |
| Subjects: | L100 Economics N100 Business studies |
| Department: | Faculties > Business and Law > Newcastle Business School |
| Depositing User: | Becky Skoyles |
| Date Deposited: | 31 Jul 2017 09:39 |
| Last Modified: | 31 Jul 2021 22:06 |
| URI: | http://nrl.northumbria.ac.uk/id/eprint/31440 |
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