Title :

Commonality on Euronext: Do location and account type matter?

Author(s) :

d'Hondt, Catherine [Auteur]
Majois, Christophe [Auteur]
Mazza, Paolo [Auteur]
Lille économie management - UMR 9221 [LEM]

Journal title :

International Review of Financial Analysis

Pages :

183--198

Publisher :

Elsevier

Publication date :

2015-12

ISSN :

1057-5219

English keyword(s) :

Stocks (Finance)
Multiple correspondence analysis (Statistics)
Liquidity (Economics)
International markets
Existence theorems
Euronext NV

HAL domain(s) :

Économie et finance quantitative [q-fin]
Sciences de l'Homme et Société/Gestion et management

English abstract : [en]

Using a rich dataset of orders and trades for a sample of stocks listed on four Euronext markets, we apply principal component analysis and provide evidence on the existence and magnitude of commonality in returns, order ...
Show more >Using a rich dataset of orders and trades for a sample of stocks listed on four Euronext markets, we apply principal component analysis and provide evidence on the existence and magnitude of commonality in returns, order flow and liquidity. We show that commonality in order flow mainly comes from foreign market members acting for their own account. Proprietary trading is a major driver in trade imbalance and return commonality. Next, we provide evidence on commonality in hidden liquidity. In contrast to commonality in visible depth that is the strongest for large firms, comovements in hidden depth seem to be stronger for small caps. We also show that commonality in returns, order flow and liquidity is not constant throughout the day. The opening of US markets is a key moment where commonality often reaches its maximum level. These findings suggest that most of the commonality is driven by foreigners, generating an increase in systematic liquidity risk, due to foreigners' similar trading behaviors, whose importance evolves throughout the day.Show less >

Language :

Anglais

Popular science :

Non

Collections :

• Lille Économie Management (LEM) - UMR 9221

Source :

Harvested from HAL