Intraday Trading of Island (As Reported to the Cincinnati Stock Exchange) and NASDAQ

Nguyen Van T., Bonnie F. Van Ness and Robert A. Van Ness
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Nguyen Van T.: University of Mississippi, College of Business, Holman Hall, University, MS 38677, USA
Bonnie F. Van Ness: University of Mississippi, College of Business, Holman Hall, University, MS 38677, USA
Robert A. Van Ness: University of Mississippi, College of Business, Holman Hall, University, MS 38677, USA

Chapter 6 in Advances in Quantitative Analysis of Finance and Accounting:New Series, 2004, pp 89-104 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractOn March 18, 2002, Island began reporting its trades to the Cincinnati Stock Exchange. This change in reporting allows us to examine Island's trading behavior. We find distinct intraday patterns for the number of trades and volume. Both NASDAQ and Island exhibit intraday U-shaped patterns for the number of trades and volume, however, the difference in the two also shows a U-shaped pattern. In addition, we analyze the probability of informed trading around the reporting change. We find no difference in the probability of informed trading on NASDAQ and Island following the change, as well as no significant difference in the probability of informed trading for NASDAQ before and after the change.

Keywords: Discretionary Accruals; Futures Price Volatility; Bid-Ask Spread Components; CEO Compensation; Executive Cash Compensation; Convertible Debts; Environmental Liabilities (search for similar items in EconPapers)
Date: 2004
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