Intraday analysis of market integration: Dutch blue chips traded in Amsterdam and New York
AbstractMarket 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.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Financial Markets.
Volume (Year): 5 (2002)
Issue (Month): 1 (January)
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Web page: http://www.elsevier.com/locate/finmar
Other versions of this item:
- Erik Hupperets & Bert Menkveld, 2000. "Intraday Analysis of Market Integration: Dutch Blue Chips traded in Amsterdam and New York," Tinbergen Institute Discussion Papers 00-018/2, Tinbergen Institute.
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