Round-the-Clock Trading: Evidence from U.K. Cross-Listed Securities
Allan W. Kleidon
Ingrid M. Werner
The Ohio State University - Fisher College of Business
NBER Working Paper No. w4410
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.
Number of Pages in PDF File: 43working papers series
Date posted: July 24, 2007
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