Round-the-clock Trading: Evidence from U.K. Cross-Listed Securities

Allan W. Kleidon and Ingrid M. Werner

No 4410, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: This paper uses transactions data from the London Stock Exchange to characterize the intraday pattern of security prices and trading volume for securities trading on SEAQ. It focuses in more detail on a sample of U.K. firms that are cross-listed on the NYSE. Using additional data from the NYSE-AMEX (I5SM), we compare volatility, volume, and quotes as trading starts in London and then continues in New York. These firms have substantially longer trading hours than most singly-listed stocks, and are also traded in two markets with very different institutional setups. This is shown to have several important implications for theories on intraday behavior of prices, the organization of exchanges, and the general consequences of round-the-clock trading.

JEL-codes: F G (search for similar items in EconPapers)
Date: 1993-07
Note: IFM
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

Published as "Effects of Geography and stock-market structure: A comparison of cross-listed securities," Graduate school of Business, Stanford Univ. Research Paper No. 1348, 1995.
Published as became Werner, I.M. and A.W. Kleidon, 1996, "UK an US trading of british cross-listed stocks: an intraday analysis of market integration," in Review of Financial studies, vol.9, no.2: 615-659.

Downloads: (external link)
http://www.nber.org/papers/w4410.pdf (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:nbr:nberwo:4410

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w4410

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().