NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

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

Allan W. Kleidon, Ingrid M. Werner

NBER Working Paper No. 4410
Issued in July 1993
NBER Program(s):   IFM

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.

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Document Object Identifier (DOI): 10.3386/w4410

Published:

  • "Effects of Geography and stock-market structure: A comparison of cross-listed securities," Graduate school of Business, Stanford Univ. Research Paper No. 1348, 1995. ,
  • 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.

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