Titre :

Commonality on Euronext: Do location and account type matter?

Auteur(s) :

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

Titre de la revue :

International Review of Financial Analysis

Pagination :

183--198

Éditeur :

Elsevier

Date de publication :

2015-12

ISSN :

1057-5219

Mot(s)-clé(s) en anglais :

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

Discipline(s) HAL :

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

Résumé en anglais : [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 ...
Lire la suite >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.Lire moins >

Langue :

Anglais

Vulgarisation :

Non

Collections :

• Lille Économie Management (LEM) - UMR 9221

Source :

Harvested from HAL