PT  - JOURNAL ARTICLE
AU  - Vichet Sum
TI  - Equity Trading Activity and Credit<br/>Spread Shock
AID  - 10.3905/jot.2014.9.2.021
DP  - 2014 Mar 31
TA  - The Journal of Trading
PG  - 21--26
VI  - 9
IP  - 2
4099  - https://pm-research.com/content/9/2/21.short
4100  - https://pm-research.com/content/9/2/21.full
AB  - This article investigates how equity trading activity dynamically responds to credit spread shock. Analysis of monthly data from 1925M1 to 2013M7, using share volume turnover as a proxy, shows that equity trading activity significantly drops following a shock to credit spread. The results from the Granger-causality test show that credit spread Granger-causes equity trading activity to drop. The variance decomposition results indicate that credit spread forecasts about 1.77%, 2.25%, and 4.22% of equity trading activity at the 3-month, 6-month, and 12-month horizons, respectively.TOPICS: Security analysis and valuation, financial crises and financial market history, statistical methods