When Continuous Trading Becomes Continuous

Posted: 3 Dec 2004

See all articles by Harald Henke

Harald Henke

European University Viadrina, Frankfurt (Oder)

Abstract

This paper examines the impact of a large increase in the number of institutional traders on the performance of a continuous trading system using Polish stock market data. After the Polish pension reform in 1999, the domestic stock market experienced large inflows of money. We theoretically and empirically show that those stocks that are actively traded by pension funds display increases in the share of continuous trading and corresponding liquidity in this system, while no positive effects are found for other stocks. Moreover, we find spillover effects to the call auction system.

Keywords: Continuous trading system, market microstructure, Polish stock market, pension funds

JEL Classification: G14, G15, G23

Suggested Citation

Henke, Harald, When Continuous Trading Becomes Continuous. Available at SSRN: https://ssrn.com/abstract=625502

Harald Henke (Contact Author)

European University Viadrina, Frankfurt (Oder) ( email )

Department of Finance and Capital Market Theory
Gr. Scharrnstr. 59
15230 Frankfurt (Oder)
Germany

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