Feedback trading and the autocorrelation pattern of stock returns: further empirical evidence

Article Abstract:

Feedback trading is found to affect the autocorrelation pattern of stock returns. An analysis of six stock markets reveals that negative autocorrelation is generated by positive feedback trading in index stock returns. This occurs even though high frequency index returns are assumed to be positively correlated. The intense activity of feedback trading during market declines may be explained by portfolio insurance strategies and wide use of stop-loss orders.

Economics, Research and Development in the Social Sciences and Humanities, Models, Economic aspects, Stocks, Financial analysis, Autocorrelation (Statistics)

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The international transmission of information in Eurodollar futures markets: a continuously trading market hypothesis

Article Abstract:

The flow of information between three Eurodollar futures markets was investigated. Specifically, interest rate fluctuations during the trading and non-trading hours of the International Monetary Market, the London International Financial Futures Exchange and the Singapore International Monetary Exchange were examined and shown to be cointegrated. These results show that the three may be treated as a single, continuously trading market.

Financial futures, Eurocurrency market, International finance, Capital movements

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Asymmetric volatility transmission in international stock markets

Article Abstract:

Price and volatility spillovers across the Tokyo, London and New York stock markets are studied using an extended multivariate Exponential Generalized Autoregressive Conditionally Heteroskedastic model. It is shown that volatility transmissions from New York to London and Tokyo are asymmetric, wherein the bad news coming from a given market increase the volatility of the next market to trade.

Analysis, Stock-exchange, Stock exchanges

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