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

Author

Listed:
  • Allan W. Kleidon
  • Ingrid M. Werner
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.

Suggested Citation

  • Allan W. Kleidon & Ingrid M. Werner, 1993. "Round-the-clock Trading: Evidence from U.K. Cross-Listed Securities," NBER Working Papers 4410, National Bureau of Economic Research, Inc.
    • Handle: RePEc:nbr:nberwo:4410
    Note: IFM
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    References listed on IDEAS

    as
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    Cited by:

    1. ap Gwilym, Owain & Thomas, Stephen, 2002. "An empirical comparison of quoted and implied bid-ask spreads on futures contracts," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 12(1), pages 81-99, February.
    2. Sjoo, Boo & Zhang, Jianhua, 2000. "Market segmentation and information diffusion in China's stock markets," Journal of Multinational Financial Management, Elsevier, vol. 10(3-4), pages 421-438, December.
    3. Wen-Ling Lin & Takatoshi Ito, 1994. "Price Volatility and Volume Spillovers between the Tokyo and New York Stock Markets," NBER Chapters, in: The Internationalization of Equity Markets, pages 309-343, National Bureau of Economic Research, Inc.
    4. Foucault, Thierry, 1999. "Order flow composition and trading costs in a dynamic limit order market1," Journal of Financial Markets, Elsevier, vol. 2(2), pages 99-134, May.
    5. Chan, K. C. & Fong, Wai-Ming & Kho, Bong-Chan & Stulz, ReneM., 1996. "Information, trading and stock returns: Lessons from dually-listed securities," Journal of Banking & Finance, Elsevier, vol. 20(7), pages 1161-1187, August.
    6. A. Abhyankar & L. S. Copeland & W. Wong, 1999. "LIFFE cycles: intraday evidence from the FTSE-100 Stock Index futures market," The European Journal of Finance, Taylor & Francis Journals, vol. 5(2), pages 123-139.
    7. Eric Levin & Robert Wright, 1999. "Why does the bid-ask spread vary over the day?," Applied Economics Letters, Taylor & Francis Journals, vol. 6(9), pages 563-567.
    8. Levin, Eric J. & Wright, Robert E., 1999. "Explaining the intra-day variation in the bid-ask spread in competitive dealership markets - A research note 1," Journal of Financial Markets, Elsevier, vol. 2(2), pages 179-191, May.
    9. Peter C. Reiss & Ingrid M. Werner, 1994. "Transaction Costs in Dealer Markets: Evidence From The London Stock Exchange," NBER Working Papers 4727, National Bureau of Economic Research, Inc.
    10. Brockman, Paul & Chung, Dennis Y., 1998. "Inter- and intra-day liquidity patterns on the Stock Exchange of Hong Kong," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(3-4), pages 277-298, December.
    11. Forster, Margaret M. & George, Thomas J., 1995. "Trading hours, information flow, and international cross-listing," International Review of Financial Analysis, Elsevier, vol. 4(1), pages 19-34.

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