Information, Trading Volume, and International Stock Return Comovements: Evidence from Cross-Listed Stocks
研究556只在美国交叉上市的外国股票的收益与交易量联合动态，发现高交易量日的收益更易在母国与美国市场间溢出，且该效应在信息交易风险高的股票中更显著，揭示了信息、交易量与跨国收益联动的关系。
Abstract We investigate the joint dynamics of returns and trading volume of 556 foreign stocks cross-listed on U.S. markets. Heterogeneous-agent trading models rationalize how trading volume reflects the quality of traders’ information signals and how it helps to disentangle whether returns are associated with portfolio-rebalancing trades or information-motivated trades. Based on these models, we hypothesize that returns in the home (U.S.) market on high-volume days are more likely to continue to spill over into the U.S. (home) market for those cross-listed stocks subject to the risk of greater informed trading. Our empirical evidence provides support for these predictions, which confirms the link between information, trading volume, and international stock return comovements that has eluded previous empirical investigations.