Volume and Skewness in International Equity Markets
AbstractThis paper utilizes a unique dataset on votes cast by Czech and Polish migrants in their recent national elections to investigate the impact of institutional, political and economic characteristics on migrants’ voting behavior. The political preferences of migrants are strikingly different from those of their domestic counterparts. In addition, there are also important differences among migrants living in different countries. This paper examines three alternative hypotheses to explain migrant voting behavior: adaptive learning;economic self-selection and political self-selection. The results of the analysis suggest that migrant voting behavior is affected by the institutional environment of the host countries, in particular the tradition of democracy and the extent of economic freedom. In contrast, there is little evidence that differences in migrants’ political attitudes are caused by self-selection based either on economic motives or political attitudes prior to migrating. These results are interpreted as indicating that migrants’ political preferences change in the wake of migration as they adapt to the norms and values prevailing in their surroundings. Classification-
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by IIIS in its series The Institute for International Integration Studies Discussion Paper Series with number iiisdp043.
Date of creation: 20 Apr 2005
Date of revision:
International stock markets; Skewness; Volume; VAR.;
Other versions of this item:
- Hutson, Elaine & Kearney, Colm & Lynch, Margaret, 2008. "Volume and skewness in international equity markets," Journal of Banking & Finance, Elsevier, vol. 32(7), pages 1255-1268, July.
- NEP-ALL-2005-04-30 (All new papers)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Epps, Thomas W & Epps, Mary Lee, 1976. "The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis," Econometrica, Econometric Society, vol. 44(2), pages 305-21, March.
- Joseph Chen & Harrison Hong & Jeremy C. Stein, 2000.
"Forecasting Crashes: Trading Volume, Past Returns and Conditional Skewness in Stock Prices,"
NBER Working Papers
7687, National Bureau of Economic Research, Inc.
- Chen, Joseph & Hong, Harrison & Stein, Jeremy C., 2001. "Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices," Journal of Financial Economics, Elsevier, vol. 61(3), pages 345-381, September.
- Alles, Lakshman A & Kling, John L, 1994. "Regularities in the Variation of Skewness in Asset Returns," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 17(3), pages 427-38, Fall.
- Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, vol. 36, pages 394.
- Aggarwal, Raj & Rao, Ramesh P & Hiraki, Takato, 1989. "Skewness and Kurtosis in Japanese Equity Returns: Empirical Evidence," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 12(3), pages 253-60, Fall.
- Campbell R. Harvey & Akhtar Siddique, 2000. "Conditional Skewness in Asset Pricing Tests," Journal of Finance, American Finance Association, vol. 55(3), pages 1263-1295, 06.
- Shalen, Catherine T, 1993. "Volume, Volatility, and the Dispersion of Beliefs," Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 405-34.
- French, Kenneth R. & Schwert, G. William & Stambaugh, Robert F., 1987. "Expected stock returns and volatility," Journal of Financial Economics, Elsevier, vol. 19(1), pages 3-29, September.
- Pesaran, M. H. & Shin, Y., 1997.
"Generalised Impulse Response Analysis in Linear Multivariate Models,"
Cambridge Working Papers in Economics
9710, Faculty of Economics, University of Cambridge.
- Pesaran, H. Hashem & Shin, Yongcheol, 1998. "Generalized impulse response analysis in linear multivariate models," Economics Letters, Elsevier, vol. 58(1), pages 17-29, January.
- Aggarwal, Raj & Schatzberg, John D., 1997. "Day of the week effects, information seasonality, and higher moments of security returns," Journal of Economics and Business, Elsevier, vol. 49(1), pages 1-20, February.
- Karpoff, Jonathan M., 1987. "The Relation between Price Changes and Trading Volume: A Survey," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(01), pages 109-126, March.
- Colm Kearney & Margaret Lynch, 2005. "Are International Equity Markets Really Skewed?," The Institute for International Integration Studies Discussion Paper Series iiisdp040, IIIS.
- Harris, Milton & Raviv, Artur, 1993. "Differences of Opinion Make a Horse Race," Review of Financial Studies, Society for Financial Studies, vol. 6(3), pages 473-506.
- Kim, Tae-Hwan & White, Halbert, 2004. "On more robust estimation of skewness and kurtosis," Finance Research Letters, Elsevier, vol. 1(1), pages 56-73, March.
- Hueng, C. James & McDonald, James B., 2005. "Forecasting asymmetries in aggregate stock market returns: Evidence from conditional skewness," Journal of Empirical Finance, Elsevier, vol. 12(5), pages 666-685, December.
- Clark, Peter K, 1973. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," Econometrica, Econometric Society, vol. 41(1), pages 135-55, January.
- Singleton, J. Clay & Wingender, John, 1986. "Skewness Persistence in Common Stock Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(03), pages 335-341, September.
- John Y. Campbell & Ludger Hentschel, 1991.
"No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns,"
NBER Working Papers
3742, National Bureau of Economic Research, Inc.
- Campbell, John Y. & Hentschel, Ludger, 1992. "No news is good news *1: An asymmetric model of changing volatility in stock returns," Journal of Financial Economics, Elsevier, vol. 31(3), pages 281-318, June.
- Hentschel, Ludger & Campbell, John, 1992. "No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns," Scholarly Articles 3220232, Harvard University Department of Economics.
- Harvey, Campbell R. & Siddique, Akhtar, 1999. "Autoregressive Conditional Skewness," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(04), pages 465-487, December.
- Jokipii, Terhi, 2006. "Forecasting market crashes: further international evidence," Research Discussion Papers 22/2006, Bank of Finland.
- Chen, Shiu-Sheng, 2012.
"Revisiting the empirical linkages between stock returns and trading volume,"
Journal of Banking & Finance,
Elsevier, vol. 36(6), pages 1781-1788.
- Chen, Shiu-Sheng, 2012. "Revisiting the empirical linkages between stock returns and trading volume," MPRA Paper 36897, University Library of Munich, Germany.
- Bissoondoyal-Bheenick, Emawtee & Brooks, Robert D., 2010. "Does volume help in predicting stock returns? An analysis of the Australian market," Research in International Business and Finance, Elsevier, vol. 24(2), pages 146-157, June.
- Bakri Abdul Karim & M. Shabri Abd. Majid, 2010. "Does trade matter for stock market integration?," Studies in Economics and Finance, Emerald Group Publishing, vol. 27(1), pages 47-66, March.
- Lai, Jing-yi, 2012. "Shock-dependent conditional skewness in international aggregate stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(1), pages 72-83.
- Chuang, Chia-Chang & Kuan, Chung-Ming & Lin, Hsin-Yi, 2009.
"Causality in quantiles and dynamic stock return-volume relations,"
Journal of Banking & Finance,
Elsevier, vol. 33(7), pages 1351-1360, July.
- Chia-Chang Chuang & Chung-Ming Kuan & Hsin-yi Lin, 2007. "Causality in Quantiles and Dynamic Stock Return-Volume Relations," IEAS Working Paper : academic research 07-A006, Institute of Economics, Academia Sinica, Taipei, Taiwan.
- Campbell, Cynthia J. & Cowan, Arnold R. & Salotti, Valentina, 2010. "Multi-country event-study methods," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 3078-3090, December.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Eva Mateo).
If references are entirely missing, you can add them using this form.