RT Journal Article SR Electronic T1 Equity Trading Activity and Credit
Spread Shock JF The Journal of Trading FD Institutional Investor Journals SP 21 OP 26 DO 10.3905/jot.2014.9.2.021 VO 9 IS 2 A1 Vichet Sum YR 2014 UL https://pm-research.com/content/9/2/21.abstract 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