The Microstructure of the Irish Stock Market

33 Pages Posted: 26 Jun 2015

See all articles by Patricia Chelley-Steeley

Patricia Chelley-Steeley

Aston University - Aston Business School

Brian M. Lucey

Trinity Business School, Trinity College Dublin; Ho Chi Minh City University of Economics and Finance; Jiangxi University of Finance and Economics

Multiple version iconThere are 2 versions of this paper

Date Written: June 26, 2015

Abstract

This is the first paper to examine the microstructure of the Irish Stock Market empirically and is motivated by the adoption, on June 7th of Xetra the modern pan European auction trading system. Prior to this the exchange utilized an antiquated floor based system. This change was an important event for the market as a rich literature exists to suggest that the trading system exerts a strong influence over the behavior of security returns. We apply the ICSS algorithm of Inclan and Tiao (1994) to discover whether the change to the trading system caused a shift in unconditional volatility at the time Xetra was introduced. Because the trading mechanism can influence volatility in a number of ways we also estimate the partial adjustment coefficients of the Amihud and Mendelson (1987) model prior and subsequent to the introduction of Xetra.

Keywords: trading systems; adjustment speed; cross listing; microstructure

JEL Classification: G15

Suggested Citation

Chelley-Steeley, Patricia and Lucey, Brian M., The Microstructure of the Irish Stock Market (June 26, 2015). Multinational Finance Journal, Vol. 12, No. 3/4, p. 279-311, 2008, Available at SSRN: https://ssrn.com/abstract=2623422

Patricia Chelley-Steeley (Contact Author)

Aston University - Aston Business School ( email )

Aston Triangle
Birmingham, B47ET
United Kingdom

Brian M. Lucey

Trinity Business School, Trinity College Dublin ( email )

The Sutherland Centre, Level 6, Arts Building
Dublin 2
Ireland
+353 1 608 1552 (Phone)
+353 1 679 9503 (Fax)

Ho Chi Minh City University of Economics and Finance ( email )

59C Nguyen D├Čnh Chieu
6th Ward, District 3
Ho Chi Minh City, Ho Chi Minh 70000
Vietnam

Jiangxi University of Finance and Economics ( email )

South Lushan Road
Nanchang, Jiangxi 330013
China

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
22
Abstract Views
620
PlumX Metrics