Intraday trading volume and international spillover effects

Syed Mujahid Hussain*

*المؤلف المقابل لهذا العمل

نتاج البحث: المساهمة في مجلةArticleمراجعة النظراء

8 اقتباسات (Scopus)


The objective of this paper is to explore whether lagged trading activity in one market contributes to the return and volatility process in other markets, using 5-min concurrent data from German and British equity market. Our results lend support to our initial premise that if international investors have access to the same information set as domestic traders, then after observing foreign trading activity, market makers adjust prices to reflect their expectation of the security value, conditional upon all available information, including prior trades. Our findings clearly indicate that intraday trading volume contains predictive power for cross-border return and volatility processes. Moreover, these volume effects are found to be asymmetric in the sense that the impact of positive volume changes upon foreign stock market volatility is greater than is the impact of negative changes.

اللغة الأصليةEnglish
الصفحات (من إلى)183-194
عدد الصفحات12
دوريةResearch in International Business and Finance
مستوى الصوت25
رقم الإصدار2
المعرِّفات الرقمية للأشياء
حالة النشرPublished - يونيو 2011
منشور خارجيًانعم

ASJC Scopus subject areas

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