Resource title

Leaders and Laggards: International Evidence on Spillovers in Returns, Variance, and Trading Volume

Resource image

image for OpenScout resource :: Leaders and Laggards: International Evidence on Spillovers in Returns, Variance, and Trading Volume

Resource description

This paper investigates the dynamic relationship between index returns, return volatility, and trading volume for eight Asian markets and the US. We find crossborder spillovers in returns to be nonexisting, spillovers in absolute returns between Asia and the US to be strong in both directions, and spillovers in variance to run from Asia to the US. Trading volume, especially on the Asian markets, depends on shocks in domestic and foreign returns as well as on variance, especially those shocks originating in the US. However, only weak evidence is found for trading volume influencing other variables.

Resource author

Bartosz Gebka

Resource publisher

Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/22108

Resource license

Adapt according to the presented license agreement and reference the original author.