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Trading Nokia: the roles of the Helsinki vs the New York stock exchanges

Esa Jokivuolle () and Markku Lanne

No 26/2004, Research Discussion Papers from Bank of Finland

Abstract: We use the Autoregressive Conditional Duration (ACD) framework of Engle and Russell (1998) to study the effect of trading volume on price duration (ie the time lapse between consecutive price changes) of a stock listed both in the domestic and the foreign market.As a case study we use the example of Nokia's share, which is actively traded both in the Helsinki Stock Exchange and the New York Stock Exchange (NYSE).We find asymmetry in the volume-price duration relationship between the two markets.In the NYSE the negative relationship is much stronger and exists both during and outside common trading hours.Outside common trading hours no such relationship is significant in Helsinki.Based on the theory of Easley and O'Hara (1992), these results could be interpreted in that informed investors in Nokia mainly trade in the US market whereas Helsinki is the more liquidity-oriented trading place.Key words: cross-listing, Autoregressive Conditional Duration, market microstructure JEL classification numbers: G14, G19

JEL-codes: G14 G19 (search for similar items in EconPapers)
Date: 2004-12-25
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Published in Published in The Finnish Journal of Business Economics, 3/2005: 361-374

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