An Empirical Analysis of the Trading Structure at the Stockholm Stock Exchange

Jonas Niemeyer and Patrik Sandås ()
Additional contact information
Patrik Sandås: University of Virginia

No 44, SSE/EFI Working Paper Series in Economics and Finance from Stockholm School of Economics

Abstract: This paper describes and analyzes the trading structure at the Stockholm Stock Exchange. In the empirical part, we report stylized facts based on intraday transaction and order book data, focusing on the intraday behavior of returns, trading activity, order palcement and bid/ask spread, on the importance of the tick size and finally on some characteristics of the limit order book. Our main empirical conclusions are that a) the indraday U-chape in trading activity found in earlier U.S. studies on the whole also pertains to the Stockholm Stock Exchange, b) the limit order placement also followas an intraday U-shape, c) there is no distinct intraday pattern in returns, d) the volatility and bid/ask spread seems to be higher at the beginning of the trading day, e) the tick size is economically important, and f) the price impact of an order is a non-linear function of its quantity, implying price inelastic demand and supply.

Keywords: Market microstructure; stock market; trading systems; limit order book (search for similar items in EconPapers)
JEL-codes: G10 G15 (search for similar items in EconPapers)
Pages: 35 pages
Date: 1995-01
New Economics Papers: this item is included in nep-fmk
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (15)

Published in Journal of Multinational Financial Management, 1993, pages 63-101

Downloads: (external link)
http://swopec.hhs.se/hastef/papers/hastef0044.ps (application/postscript)
http://swopec.hhs.se/hastef/papers/hastef0044.ps.zip (application/postscript)
http://swopec.hhs.se/hastef/papers/hastef0044.pdf (application/pdf)
http://swopec.hhs.se/hastef/papers/hastef0044.pdf.zip (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hhs:hastef:0044

Access Statistics for this paper

More papers in SSE/EFI Working Paper Series in Economics and Finance from Stockholm School of Economics The Economic Research Institute, Stockholm School of Economics, P.O. Box 6501, 113 83 Stockholm, Sweden. Contact information at EDIRC.
Bibliographic data for series maintained by Helena Lundin ().