Intraday trading volume and international spillover effects

Research output: Contribution to journalArticle

8 Citations (Scopus)

Abstract

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.

Original languageEnglish
Pages (from-to)183-194
Number of pages12
JournalResearch in International Business and Finance
Volume25
Issue number2
DOIs
Publication statusPublished - Jun 2011

Fingerprint

Spillover effects
Trading volume
Trading activity
International spillovers
Stock market volatility
Cross-border
Market makers
Predictive power
Traders
Equity markets
Prior information
Investors

Keywords

  • Asymmetry
  • Conditional mean
  • Conditional volatility
  • Intraday
  • Trading volume

ASJC Scopus subject areas

  • Business, Management and Accounting (miscellaneous)
  • Finance

Cite this

Intraday trading volume and international spillover effects. / Hussain, Syed Mujahid.

In: Research in International Business and Finance, Vol. 25, No. 2, 06.2011, p. 183-194.

Research output: Contribution to journalArticle

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