Location and excess comovement

Aditya Kaul, Vikas Mehrotra and Carmen Stefanescu

Journal of Empirical Finance, 2016, vol. 37, issue C, 293-308

Abstract: Firms that switch from NASDAQ to the NYSE between 1988 and 2000 show an increase in the comovement of their order flows with aggregate NYSE order flow, and a decline in comovement with NASDAQ order flow. These changes in comovement are coincident with the switch, large relative to firms that remain on NASDAQ and the NYSE, and not explained by the growth in indexing over the sample period, a possible selection bias inherent in the decision to switch to the NYSE or a delayed response to cross-market information. Cross-sectional analysis shows that large, institutionally owned, value-oriented and dividend paying firms experience greater changes in comovement following the move to the NYSE. Our evidence is consistent with an important role for style investing in generating excess comovement, as in Barberis and Shleifer (2003).

Keywords: Excess comovement; Correlated trades (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:empfin:v:37:y:2016:i:c:p:293-308

DOI: 10.1016/j.jempfin.2015.12.003

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