TY - JOUR
T1 - Intraday trading volume and international spillover effects
AU - Hussain, Syed Mujahid
N1 - Funding Information:
The author would like to thank Johan Knif, Kenneth Högholm and my discussant, Dr. Robert Hudson at the 2008 INFINTI conference in Dublin, Ireland for very useful suggestions and comments. The financial support from Hanken Foundation and OP-Pohjola-rhymän tutkimussäätiö is gratefully acknowledged. The remaining errors are my own.
PY - 2011/6
Y1 - 2011/6
N2 - 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.
AB - 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.
KW - Asymmetry
KW - Conditional mean
KW - Conditional volatility
KW - Intraday
KW - Trading volume
UR - http://www.scopus.com/inward/record.url?scp=79952537168&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=79952537168&partnerID=8YFLogxK
U2 - 10.1016/j.ribaf.2010.09.002
DO - 10.1016/j.ribaf.2010.09.002
M3 - Article
AN - SCOPUS:79952537168
SN - 0275-5319
VL - 25
SP - 183
EP - 194
JO - Research in International Business and Finance
JF - Research in International Business and Finance
IS - 2
ER -