Article ID Journal Published Year Pages File Type
7352201 Finance Research Letters 2017 16 Pages PDF
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.
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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