International stock return co-movements and trading activity.

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

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: Apr 3, 2023
• 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