Please use this identifier to cite or link to this item:
https://hdl.handle.net/20.500.14279/9219
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Chelley-Steeley, Patrìcia Lorraine | - |
dc.contributor.author | Lambertides, Neophytos | - |
dc.contributor.author | Savva, Christos S. | - |
dc.date.accessioned | 2017-01-24T08:24:02Z | - |
dc.date.available | 2017-01-24T08:24:02Z | - |
dc.date.issued | 2015-11-01 | - |
dc.identifier.citation | Journal of International Financial Markets, Institutions and Money, 2015, vol. 39, pp. 136-155 | en_US |
dc.identifier.issn | 10424431 | - |
dc.identifier.uri | https://hdl.handle.net/20.500.14279/9219 | - |
dc.description.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. | en_US |
dc.format | en_US | |
dc.language.iso | en | en_US |
dc.relation.ispartof | Journal of International Financial Markets, Institutions and Money | en_US |
dc.rights | © Elsevier | en_US |
dc.subject | Co-movement | en_US |
dc.subject | G12 | en_US |
dc.subject | G14 | en_US |
dc.subject | Order flow shock | en_US |
dc.subject | Smooth transition model | en_US |
dc.title | The effect of security and market order flow shocks on co-movement | en_US |
dc.type | Article | en_US |
dc.doi | http://dx.doi.org/10.1016/j.intfin.2015.07.005 | en_US |
dc.collaboration | University of Birmingham | en_US |
dc.collaboration | Cyprus University of Technology | en_US |
dc.subject.category | Economics and Business | en_US |
dc.journals | Open Access | en_US |
dc.country | United Kingdom | en_US |
dc.country | Cyprus | en_US |
dc.subject.field | Social Sciences | en_US |
dc.publication | Peer Reviewed | en_US |
dc.identifier.doi | 10.1016/j.intfin.2015.07.005 | en_US |
dc.relation.volume | 39 | en_US |
cut.common.academicyear | 2015-2016 | en_US |
dc.identifier.spage | 136 | en_US |
dc.identifier.epage | 155 | en_US |
item.openairetype | article | - |
item.cerifentitytype | Publications | - |
item.languageiso639-1 | en | - |
item.fulltext | No Fulltext | - |
item.openairecristype | http://purl.org/coar/resource_type/c_6501 | - |
item.grantfulltext | none | - |
crisitem.author.dept | Department of Finance, Accounting and Management Science | - |
crisitem.author.dept | Department of Finance, Accounting and Management Science | - |
crisitem.author.faculty | Faculty of Tourism Management, Hospitality and Entrepreneurship | - |
crisitem.author.faculty | Faculty of Tourism Management, Hospitality and Entrepreneurship | - |
crisitem.author.orcid | 0000-0003-2864-1793 | - |
crisitem.author.orcid | 0000-0001-6562-4816 | - |
crisitem.author.parentorg | Faculty of Management and Economics | - |
crisitem.author.parentorg | Faculty of Management and Economics | - |
crisitem.journal.journalissn | 1042-4431 | - |
crisitem.journal.publisher | Elsevier | - |
Appears in Collections: | Άρθρα/Articles |
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