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Equity Trading Activity and Credit
Spread Shock

Vichet Sum
The Journal of Trading Spring 2014, 9 (2) 21-26; DOI: https://doi.org/10.3905/jot.2014.9.2.021
Vichet Sum
is an assistant professor at the School of Business and Technology in the Department of Business, Management and Accounting, University of Maryland Eastern Shore in Princess Anne, MD.
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  • For correspondence: vsum@umes.edu
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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.

TOPICS: Security analysis and valuation, financial crises and financial market history, statistical methods

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The Journal of Trading: 9 (2)
The Journal of Trading
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Spring 2014
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Equity Trading Activity and Credit
Spread Shock
Vichet Sum
The Journal of Trading Mar 2014, 9 (2) 21-26; DOI: 10.3905/jot.2014.9.2.021

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Equity Trading Activity and Credit
Spread Shock
Vichet Sum
The Journal of Trading Mar 2014, 9 (2) 21-26; DOI: 10.3905/jot.2014.9.2.021
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