A1897
Title: Sources of global trading activity: A dynamic factor model for multivariate stock-market data
Authors: Manuel Stapper - WWU Muenster (Germany) [presenting]
Andreas Masuhr - University of Munster (Germany)
Abstract: Stock market trading activity serves as an instrument to measure the risk of assets. A dynamic factor model is used to describe the number of trades in time intervals in a multivariate setting. Assets from finance and pharmaceutical sector are considered jointly. Incorporating data from different stock exchanges around the globe narrows the window of missing information about news affecting the stock market. Besides idiosyncratic factors, the model allows for a market-wide common factor, two sector-specific factors and country-specific factors for each stock exchange. Parameters are estimated with a Particle Metropolis-Hastings procedure and the estimates are used to determine possible influences on trading activity for individual assets.
