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

Arbeitspapier

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.

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• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Working Paper Series ; No. 2006,1

Classification and Topics

• Classification: Wirtschaft ; International Financial Markets ; Financial Aspects of Economic Integration
• Subject: Financial spillovers ; trading volume ; Asian crisis

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Gebka, Bartosz
• Event: Veröffentlichung
• (who): European University Viadrina, The Postgraduate Research Programme: Capital Markets and Finance in the Enlarged Europe
• (where): Frankfurt (Oder)
• (when): 2006

Further information

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