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?
Author(s): Chen, Jing
Dong, Yizhe
Hou, Wenxuan
McMillan, David
Contact Email: david.mcmillan@stir.ac.uk
Keywords: Feedback trading
Cross-listing
Spillover
Liquidity
Causality
Volatility
Issue Date: Mar-2018
Citation: Chen J, Dong Y, Hou W & McMillan D (2018) Does feedback trading drive returns of cross-listed shares?, Journal of International Financial Markets, Institutions and Money, 53, pp. 179-199.
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.
DOI Link: http://dx.doi.org/10.1016/j.intfin.2017.09.018
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. Accepted refereed manuscript of: Chen J, Dong Y, Hou W & McMillan D (2018) Does feedback trading drive returns of cross-listed shares?, Journal of International Financial Markets, Institutions and Money, 53, pp. 179-199. DOI: 10.1016/j.intfin.2017.09.018 © 2017, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/

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