International stock return co-movements and trading activity.
(2017)
Journal Article
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
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 interact... Read More about International stock return co-movements and trading activity..