TY  - JOUR
AU  - Kleidon,Allan W.
AU  - Werner,Ingrid M.
TI  - Round-the-clock Trading: Evidence from U.K. Cross-Listed Securities
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 4410
PY  - 1993
Y2  - July 1993
UR  - http://www.nber.org/papers/w4410
L1  - http://www.nber.org/papers/w4410.pdf
N1  - Author contact info:
Allan Kleidon
Cornerstone Research
1000 El Camino Real
Menlo Park, CA  94025
Tel: 650-470-7112
E-Mail: akleidon@cornerstone.com
AB  - 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.
ER  -