Characterizing Commonality on NYSE Euronext Brussels

Majois, Christophe;D'Hondt, Catherine
(2010) Revue Bancaire et Financiere — Vol. 7, p. 445-451 (2010)

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Abstract
Based on intra-daily data for 74 continuously-traded stocks (including those belonging to the BEL20 Index), we provide evidence of common variations in returns, order flow and liquidity on NYSE Euronext Brussels. We find that commonality in order flow is the strongest for principal trading. We also show that the opening of US markets plays a key role as commonality reaches its highest value at that time.
Affiliations
  • Louvain School of ManagementAccounting & Finance
  • Institution iconUCLouvainSSH/ILSM/ILSM - Research Institute of Louvain School of Management
  • FUCaMSciences de gestion

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Majois, C., & D’Hondt, C. (2010). Characterizing Commonality on NYSE Euronext Brussels. Revue Bancaire et Financiere, 7, 445-451. https://hdl.handle.net/2078.5/250117 (Original work published 2010)