Intraday Analysis of Market Integration: Dutch Blue Chips Traded in Amsterdam and New York

Posted: 11 Nov 2003

See all articles by Erik C.J. Hupperets

Erik C.J. Hupperets

HAL Investments B.V.

Albert J. Menkveld

VU Amsterdam; Tinbergen Institute - Tinbergen Institute Amsterdam (TIA)

Abstract

Market integration is studied for Dutch stocks cross-listed at the NYSE. Trading starts in Amsterdam and ends in New York with a one-hour overlap. Both markets are not perfectly integrated in that they can be viewed as one market with the well-documented U-shape in volatility, volume and spread. Increased values for the hour of overlap suggest informed trading. Zooming in on this hour, markets are integrated in that price discovery on both sides of the Atlantic reflects the same underlying, new information. Not consistent across all stocks is the origin of this information, Amsterdam, New York or both.

Keywords: Marketintegration, Cross-list, Stock, Intraday, Amsterdam, NYSE

JEL Classification: G1, G12, G14, G15

Suggested Citation

Hupperets, Erik C.J. and Menkveld, Albert J., Intraday Analysis of Market Integration: Dutch Blue Chips Traded in Amsterdam and New York. Journal of Financial Markets, Vol. 5, No. 1, pp. 57-82, 2002. Available at SSRN: https://ssrn.com/abstract=427160

Erik C.J. Hupperets

HAL Investments B.V. ( email )

Weena 696
3012 CN Rotterdam
Netherlands
+31 10 281 65 00 (Phone)
+31 10 281 65 28 (Fax)

Albert J. Menkveld (Contact Author)

VU Amsterdam ( email )

De Boelelaan 1105
Amsterdam, 1081HV
Netherlands
+31 20 5986130 (Phone)
+31 20 5986020 (Fax)

Tinbergen Institute - Tinbergen Institute Amsterdam (TIA) ( email )

Gustav Mahlerplein 117
Amsterdam, 1082 MS
Netherlands

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