Intraday Analysis of Market Integration: Dutch Blue Chips traded in Amsterdam and New York

Erik Hupperets and Albert Menkveld
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Erik Hupperets: Erasmus University Rotterdam and KLM Royal Dutch Airlines

No 00-018/2, Tinbergen Institute Discussion Papers from Tinbergen Institute

Abstract: This discussion paper led to an article in the Journal of Financial Markets (2002). Volume 5, pages 57-82.

Market integration is studied for Dutch stocks cross-listed at the NYSE.Trading starts in Amsterdam and ends in New York with a one-hour overlap.Both markets are not perfectly integrated in that they can be viewed as onemarket with the well-documented U-shape in volatility, volume and spread.Increased values for the hour of overlap suggest informed trading. Zoomingin on this hour, markets are integrated in that price discovery on bothsides of the Atlantic reflects the same underlying, new information. Notconsistent across all stocks is the origin of this information, Amsterdam, New York or both.

Date: 2000-03-17
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Citations: View citations in EconPapers (3)

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Journal Article: Intraday analysis of market integration: Dutch blue chips traded in Amsterdam and New York (2002)
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