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- W3124120949 abstract "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." @default.
- W3124120949 created "2021-02-01" @default.
- W3124120949 creator A5036707737 @default.
- W3124120949 date "2014-03-31" @default.
- W3124120949 modified "2023-09-27" @default.
- W3124120949 title "Equity Trading Activity and CreditSpread Shock" @default.
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- W3124120949 doi "https://doi.org/10.3905/jot.2014.9.2.021" @default.
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