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Title: The effect of security and market order flow shocks on co-movement
Authors: Chelley-Steeley, Patrìcia Lorraine 
Lambertides, Neophytos 
Savva, Christos S. 
Keywords: Co-movement;G12;G14;Order flow shock;Smooth transition model
Category: Economics and Business
Field: Social Sciences
Issue Date: 1-Nov-2015
Publisher: Elsevier Ltd.
Source: Journal of International Financial Markets, Institutions and Money, 2015, Volume 39, Pages 136-155
Abstract: In this paper, we apply the smooth transition conditional correlation model to examine the impact that shocks to order flow imbalance have on stock market co-movement. We show that positive and negative shocks to security order flow reduce co-movement. Market order flow shocks have only a small impact on post shock correlations. Our results suggest that investors can increase diversification opportunities when forming dynamic portfolio strategies if they take account of security order flow information. We show that pre-shock firm characteristics allow investors to identify those stocks with the greatest diversification benefits.
ISSN: 10424431
Rights: © Elsevier B.V.
Type: Article
Appears in Collections:Άρθρα/Articles

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