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Angi, Rosch ; Erhan, Uluceviz ; Harald, Schmidbauer ; Narod, Erkol. (2016) Are American and European equity markets in phase? --- Frequency aspects of return and volatility spillovers.
In: EcoMod2016. RePEc:ekd:009007:9559.
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cites:
Haldane (2010) reports that the mean duration for the US equity holdings has dropped from around 7 years (in 1940) to around 7 months (in 2007), for the UK market, the similar trend is observed with average holding period of stocks around 5 years (in mid-1960s) to 7.5 months (in 2007). Furthermore, at the international level this trend is also confirmed for the major equity markets, for the Shanghai stock index, the mean duration is closer to 6 months. Decreasing transaction costs as well as advances in High-Frequency-Trading (HFT) tehnology, which allows transactions in milli- or micro-seconds, are believed to have impact on the decreasing average holding periods (see Haldane (2010)).
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