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dc.contributor.advisorBrzeszczynski, Doctor Janusz
dc.contributor.advisorIbrahim, Doctor Boulis
dc.contributor.authorSheng, Xin
dc.date.accessioned2014-06-11T11:40:54Z
dc.date.available2014-06-11T11:40:54Z
dc.date.issued2013-05
dc.identifier.urihttp://hdl.handle.net/10399/2719
dc.description.abstractThis thesis aims to contribute to the existing literature about return and volatility spillovers. First, this study examines the direct transmission of information contained in returns, volatility and trading volume across the world’s eight biggest stock markets by market capitalisation using the ARCH-type models. The empirical results highlight the complexity of the information transmission mechanisms via different channels. Second, this study investigates the transmission of information in stock market index returns after considering the interactive effect between trading volume and returns. A new approach to analyse this joint-dynamic relation has been proposed and the findings are interpreted in the light of economic theory. The obtained results provide evidence that liquidity-based price movements, which are normally related to high trading volume, can also be transmitted across borders and have a global impact on market performance in other countries. Last but not least, this study explores the economic significance of international information spillovers and presents evidence showing that active investment strategies which apply trading rules based on the signals from the forecasts of the meteor shower models are profitable even after considering transaction costs. In addition, the information about the interactive relation between trading volume and returns is found to be an exploitable phenomenon which investors can use to trade profitably.en_US
dc.language.isoenen_US
dc.publisherHeriot-Watt Universityen_US
dc.publisherManagement and Languagesen_US
dc.rightsAll items in ROS are protected by the Creative Commons copyright license (http://creativecommons.org/licenses/by-nc-nd/2.5/scotland/), with some rights reserved.
dc.titleTransmission of information across international stock marketsen_US
dc.typeThesisen_US


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