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International stock return co-movements and trading activity.

Sheng, Xin; Brzeszczyński, Janusz; Ibrahim, Boulis M.

Authors

Xin Sheng

Janusz Brzeszczyński

Boulis M. Ibrahim



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.

Citation

SHENG, X., BRZESZCZYŃSKI, J. and IBRAHIM, B. 2017. International stock return co-movements and trading activity. Finance research letters [online], 23, pages 12-18. Available from: https://doi.org/10.1016/j.frl.2017.06.006

Journal Article Type Article
Acceptance Date Jun 7, 2017
Online Publication Date Jun 9, 2017
Publication Date Nov 30, 2017
Deposit Date Apr 3, 2023
Publicly Available Date Mar 28, 2024
Journal Finance research letters
Print ISSN 1544-6123
Electronic ISSN 1544-6131
Publisher Elsevier
Peer Reviewed Peer Reviewed
Volume 23
Pages 12-18
DOI https://doi.org/10.1016/j.frl.2017.06.006
Keywords Return spillovers; Trading volume; Interaction effects; GARCH models
Public URL https://rgu-repository.worktribe.com/output/1928625

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