Feedback trading: Strategies during day and night with global interconnectedness

Alex Kusen and Markus Rudolf

Research in International Business and Finance, 2019, vol. 48, issue C, 438-463

Abstract: Feedback trading strategies have gained much popularity among researchers in the last decades and are used to illustrate how new information based on returns is reflected in the markets. This paper extends previous studies by decomposing the overall return premium and introducing the global feedback trading model. The global feedback trading model assumes an interconnectedness between multiple countries and captures spillovers. Empirical results illustrate two important findings. First, feedback trading strategies differ across markets when distinguishing between day and night returns. Second, evidence for changing feedback trading is provided by examining the interaction of specific markets.

Keywords: Heterogeneous investors; Feedback trading; Conditional volatility; Global interconnectedness; GARCH (search for similar items in EconPapers)
JEL-codes: C58 G02 G10 G11 G12 G14 G15 G17 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0275531918304938
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:48:y:2019:i:c:p:438-463

DOI: 10.1016/j.ribaf.2019.01.013

Access Statistics for this article

Research in International Business and Finance is currently edited by T. Lagoarde Segot

More articles in Research in International Business and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().