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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number 00-018/2.
Date of creation: 17 Mar 2000
Date of revision:
Contact details of provider:
Web page: http://www.tinbergen.nl
Other versions of this item:
- Hupperets, Erik C. J. & Menkveld, Albert J., 2002. "Intraday analysis of market integration: Dutch blue chips traded in Amsterdam and New York," Journal of Financial Markets, Elsevier, vol. 5(1), pages 57-82, January.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Lawrence R. Glosten & Paul R. Milgrom, 1983.
"Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders,"
570, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Glosten, Lawrence R. & Milgrom, Paul R., 1985. "Bid, ask and transaction prices in a specialist market with heterogeneously informed traders," Journal of Financial Economics, Elsevier, vol. 14(1), pages 71-100, March.
- Goodhart, Charles A. E. & O'Hara, Maureen, 1997. "High frequency data in financial markets: Issues and applications," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 73-114, June.
- repec:att:wimass:9121 is not listed on IDEAS
- Froot, Kenneth A. & Dabora, Emil M., 1999.
"How are stock prices affected by the location of trade?,"
Journal of Financial Economics,
Elsevier, vol. 53(2), pages 189-216, August.
- Kenneth A. Froot & Emil Dabora, 1998. "How are Stock Prices Affected by the Location of Trade?," NBER Working Papers 6572, National Bureau of Economic Research, Inc.
- Hasbrouck, Joel, 1995. " One Security, Many Markets: Determining the Contributions to Price Discovery," Journal of Finance, American Finance Association, vol. 50(4), pages 1175-99, September.
- Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-35, November.
- Wen-Ling Lin & Robert F. Engle & Takatoshi Ito, 1991.
"Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns,"
NBER Working Papers
3911, National Bureau of Economic Research, Inc.
- Wen-Ling Lin & Robert F. Engle & Takatoshi Ito, 1992. "Do Bulls and Bears Move Acoross Borders: International Transimission of Stock Returns and Volatility as the World Turns," Discussion Paper Series a253, Institute of Economic Research, Hitotsubashi University.
- Werner, Ingrid M & Kleidon, Allan W, 1996. "U.K. and U.S. Trading of British Cross-Listed Stocks: An Intraday Analysis of Market Integration," Review of Financial Studies, Society for Financial Studies, vol. 9(2), pages 619-64.
- Madhavan, Ananth, 2000. "Market microstructure: A survey," Journal of Financial Markets, Elsevier, vol. 3(3), pages 205-258, August.
- Roll, Richard, 1984. " A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market," Journal of Finance, American Finance Association, vol. 39(4), pages 1127-39, September.
This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page. reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Antoine Maartens (+31 626 - 160 892)).
If references are entirely missing, you can add them using this form.