Round-the-clock Trading: Evidence from U.K. Cross-Listed Securities / Allan W. Kleidon, Ingrid M. Werner.

Format:

Book

Author/Creator:

Kleidon, Allan W.

Contributor:

National Bureau of Economic Research.

Werner, Ingrid M.

Series:

Working Paper Series (National Bureau of Economic Research) no. w4410.

NBER working paper series no. w4410

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Other Title:

Round-the-clock Trading

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 1993.

Summary:

This paper uses transactions data from the London Stock Exchange to characterize the intraday pattern of security prices and trading volume for securities trading on SEAQ. It focuses in more detail on a sample of U.K. firms that are cross-listed on the NYSE. Using additional data from the NYSE-AMEX (I5SM), we compare volatility, volume, and quotes as trading starts in London and then continues in New York. These firms have substantially longer trading hours than most singly-listed stocks, and are also traded in two markets with very different institutional setups. This is shown to have several important implications for theories on intraday behavior of prices, the organization of exchanges, and the general consequences of round-the-clock trading.

Notes:

Print version record

July 1993.