Intraday Analysis of Market Integration: Dutch Blue Chips traded in Amsterdam and New York
2000-03-17
Research Paper
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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 one market with the well-documented U-shape in volatility, volume and spread. Increased values for the hour of overlap suggest informed trading. Zooming in on this hour, markets are integrated in that price discovery on both sides of the Atlantic reflects the same underlying, new information. Not consistent across all stocks is the origin of this information, Amsterdam, New York or both.
Keywords
Classifications using
Journal of Economic Literature (JEL) Classification System
- G12 : Asset Pricing
- G1 : General Financial Markets
- G14 : Information and Market Efficiency; Event Studies
- G15 : International Financial Markets
Automatically Extracted Terms
- amsterdam
- trading
- market
- stock
- price
- 0.01
- pattern
- spread
- volatility
- volume
- information
- impulse
- trade
- minute
- dutch
- 1.00
- result
- exchange
- 0.96
- 0.95
