International Stock Return Co-movements and Trading Activity

Xin Sheng, Janusz Brzeszczynski, Boulis Maher Ibrahim

Research output: Contribution to journalArticle

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 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.
Original languageEnglish
JournalFinance Research Letters
Early online date9 Jun 2017
DOIs
Publication statusE-pub ahead of print - 9 Jun 2017

Fingerprint

Comovement
International stock returns
Trading activity
Price changes
Liquidity
Asia
Spillover
Spillover effects
International stock markets
Interaction

Keywords

  • Return Spillovers
  • Intraday Data
  • GARCH Models
  • Trading Volume
  • Interaction Effects

ASJC Scopus subject areas

  • Economics, Econometrics and Finance(all)

Cite this

@article{e21eb2be425e411e9d7af5395b12b31f,
title = "International Stock Return Co-movements and Trading Activity",
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 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.",
keywords = "Return Spillovers, Intraday Data, GARCH Models, Trading Volume, Interaction Effects",
author = "Xin Sheng and Janusz Brzeszczynski and Ibrahim, {Boulis Maher}",
year = "2017",
month = "6",
day = "9",
doi = "10.1016/j.frl.2017.06.006",
language = "English",
journal = "Finance Research Letters",
issn = "1544-6123",
publisher = "Elsevier",

}

International Stock Return Co-movements and Trading Activity. / Sheng, Xin; Brzeszczynski, Janusz; Ibrahim, Boulis Maher.

In: Finance Research Letters, 09.06.2017.

Research output: Contribution to journalArticle

TY - JOUR

T1 - International Stock Return Co-movements and Trading Activity

AU - Sheng, Xin

AU - Brzeszczynski, Janusz

AU - Ibrahim, Boulis Maher

PY - 2017/6/9

Y1 - 2017/6/9

N2 - 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 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.

AB - 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 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.

KW - Return Spillovers

KW - Intraday Data

KW - GARCH Models

KW - Trading Volume

KW - Interaction Effects

U2 - 10.1016/j.frl.2017.06.006

DO - 10.1016/j.frl.2017.06.006

M3 - Article

JO - Finance Research Letters

JF - Finance Research Letters

SN - 1544-6123

ER -