International Stock Return Co-Movements and Trading Activity

Xin Sheng, Janusz Brzeszczynski, Boulis M. Ibrahim

Research output: Contribution to journalArticle

4 Citations (Scopus)

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.
LanguageEnglish
Pages12-18
Number of pages7
JournalFinance Research Letters
Volume23
Early online date9 Jun 2017
DOIs
Publication statusPublished - Nov 2017

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

Cite this

Sheng, Xin ; Brzeszczynski, Janusz ; Ibrahim, Boulis M. / International Stock Return Co-Movements and Trading Activity. In: Finance Research Letters. 2017 ; Vol. 23. pp. 12-18.
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International Stock Return Co-Movements and Trading Activity. / Sheng, Xin; Brzeszczynski, Janusz; Ibrahim, Boulis M.

In: Finance Research Letters, Vol. 23, 11.2017, p. 12-18.

Research output: Contribution to journalArticle

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