Trading Time and Trading Activity: Evidence from Extensions of the NYSE Trading Day

European Journal of Finance, Vol. 14, No. 3, 2008

University of Alberta School of Business Research Paper No. 2013-216

Posted: 26 May 2013 Last revised: 30 May 2013

See all articles by Ebenezer Asem

Ebenezer Asem

University of Lethbridge

Aditya Kaul

University of Alberta - Department of Finance and Statistical Analysis

Date Written: May 9, 2007

Abstract

The New York Stock Exchange extended its trading hours by 30 min in 1974 and in 1985; the first extension resulting in a delayed close and the second in an early open. We find a shift in volume to the new period after each extension. Additionally, there is a larger increase in volume after the 1985 extension than after the 1974 extension. We argue that the second effect is explained by the first. The extension at the end of the day allows some investors to postpone their trades, which results in occasional information cancellation or discovery; this mutes the effect of the extension on volume. In contrast, the extension at the start of the day allows some investors to accelerate trades, which precludes information cancellation or discovery and its negative effect on volume. This explanation suggests that the effect of an extension on volume depends, at least in part, on its timing.

Keywords: trading hours, turnover, information, return variability, event study

Suggested Citation

Asem, Ebenezer and Kaul, Aditya, Trading Time and Trading Activity: Evidence from Extensions of the NYSE Trading Day (May 9, 2007). European Journal of Finance, Vol. 14, No. 3, 2008, University of Alberta School of Business Research Paper No. 2013-216, Available at SSRN: https://ssrn.com/abstract=2269191

Ebenezer Asem

University of Lethbridge ( email )

4401 University Drive
Lethbridge, Alberta T1K 3M4
Canada

Aditya Kaul (Contact Author)

University of Alberta - Department of Finance and Statistical Analysis ( email )

2-32M Business
Edmonton, Alberta T6G 2R6
Canada
780-492-5027 (Phone)
780-492-3325 (Fax)

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