@article {Sum21, author = {Vichet Sum}, title = {Equity Trading Activity and CreditSpread Shock}, volume = {9}, number = {2}, pages = {21--26}, year = {2014}, doi = {10.3905/jot.2014.9.2.021}, publisher = {Institutional Investor Journals Umbrella}, 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}, issn = {1559-3967}, URL = {https://jot.pm-research.com/content/9/2/21}, eprint = {https://jot.pm-research.com/content/9/2/21.full.pdf}, journal = {The Journal of Trading (Retired)} }