Please use this identifier to cite or link to this item: http://hdl.handle.net/1893/25370
Appears in Collections:Accounting and Finance Journal Articles
Peer Review Status: Refereed
Title: Does feedback trading drive returns of cross-listed shares? (Forthcoming)
Authors: Chen, Jing
Dong, Yizhe
Hou, Wenxuan
McMillan, David
Contact Email: david.mcmillan@stir.ac.uk
Keywords: Feedback trading
Cross-listing
Spillover
Liquidity
Causality
Volatility
Citation: Chen J, Dong Y, Hou W & McMillan D (2017) Does feedback trading drive returns of cross-listed shares? (Forthcoming), Journal of International Financial Markets, Institutions and Money.
Abstract: This paper examines the role of cross-listing in stock return dynamics with particular reference to feedback trading based on a sample of five most frequently traded cross-listed shares. We find that a long-run equilibrium relationship among the cross-listed share prices exists, but find no evidence of long-run co-movements among different shares traded in the same exchange. Furthermore, the VAR Granger causality tests indicate bi-directional feedback relations among the returns of cross-listed shares, while there is no consistent causality among different stocks within the markets. We also find that the cross-listed shares demonstrate strong volatility spillovers, which is driven by the covariance structure that are formed by variance and correlation terms. In addition, we report liquidity spillover effects and spillovers running from liquidity to volatility for some firms but no evidence that spillover effects run from volatility to liquidity.
Rights: This item has been embargoed for a period. During the embargo please use the Request a Copy feature at the foot of the Repository record to request a copy directly from the author. You can only request a copy if you wish to use this work for your own research or private study.

Files in This Item:
File Description SizeFormat 
Does feedback trading drive returns of cross-listed shares v2.1.pdf2.21 MBAdobe PDFUnder Embargo until 10/5/2020     Request a copy

Note: If any of the files in this item are currently embargoed, you can request a copy directly from the author by clicking the padlock icon above. However, this facility is dependent on the depositor still being contactable at their original email address.



This item is protected by original copyright



Items in the Repository are protected by copyright, with all rights reserved, unless otherwise indicated.

If you believe that any material held in STORRE infringes copyright, please contact library@stir.ac.uk providing details and we will remove the Work from public display in STORRE and investigate your claim.