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Trading Nokia: The roles of the Helsinki vs the New York stock exchanges

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Author Info
Jokivuolle , Esa () (Bank of Finland Research)
Lanne , Markku (University of Jyväskylä, RUESG and HECER)

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Abstract

We use the Autoregressive Conditional Duration (ACD) framework of Engle and Russell (1998) to study the effect of trading volume on price duration (ie the time lapse between consecutive price changes) of a stock listed both in the domestic and the foreign market. As a case study we use the example of Nokia’s share, which is actively traded both in the Helsinki Stock Exchange and the New York Stock Exchange (NYSE). We find asymmetry in the volume-price duration relationship between the two markets. In the NYSE the negative relationship is much stronger and exists both during and outside common trading hours. Outside common trading hours no such relationship is significant in Helsinki. Based on the theory of Easley and O’Hara (1992), these results could be interpreted in that informed investors in Nokia mainly trade in the US market whereas Helsinki is the more liquidity-oriented trading place.

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Publisher Info
Paper provided by Bank of Finland in its series Research Discussion Papers with number 26/2004.

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Length: 27 pages
Date of creation: 13 Oct 2004
Date of revision:
Handle: RePEc:hhs:bofrdp:2004_026

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Postal: Bank of Finland, P.O. Box 160, FI-00101 Helsinki, Finland
Web page: http://www.bof.fi/en/tutkimus
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Related research
Keywords: cross-listing; Autoregressive Conditional Duration; market microstructure;

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Find related papers by JEL classification:
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
G19 - Financial Economics - - General Financial Markets - - - Other

References listed on IDEAS
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.:

  1. Berthold Herrendorf & Arilton Teixeira, 2004. "Monopoly rights can reduce income big time," Macroeconomics 0404023, EconWPA. [Downloadable!]
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  2. Martin Ellison & Lucio Sarno & Jouko Vilmunen, 2004. "Monetary policy and learning in an open economy," Macroeconomics 0404022, EconWPA. [Downloadable!]
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  3. Mayes , David G., 2004. "An approach to bank insolvency in transition and emerging economies," Research Discussion Papers 4/2004, Bank of Finland. [Downloadable!]
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  4. Allen Berger & Iftekhar Hasan & Leora Klapper, 2004. "Further Evidence on the Link between Finance and Growth: An International Analysis of Community Banking and Economic Performance," Journal of Financial Services Research, Springer, vol. 25(2), pages 169-202, April. [Downloadable!] (restricted)
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  5. Ari Hyytinen & Tuomas Takalo, 2004. "Multihoming in the Market for Payment Media: Evidence from Young Finnish Consumers," Discussion Papers 893, The Research Institute of the Finnish Economy. [Downloadable!]
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  6. Bagella, Michele & Becchetti, Leonardo & Hasan, Iftekhar, 2004. "The anticipated and concurring effects of the EMU: exchange rate volatility, institutions and growth," Journal of International Money and Finance, Elsevier, vol. 23(7-8), pages 1053-1080. [Downloadable!] (restricted)
  7. Rautureau, Nicolas, 2004. "Measuring the long-term perception of monetary policy and the term structure," Research Discussion Papers 12/2004, Bank of Finland. [Downloadable!]
  8. Maritta Paloviita, 2006. "Inflation Dynamics in the Euro Area and the Role of Expectations," Empirical Economics, Springer, vol. 31(4), pages 847-860, November. [Downloadable!] (restricted)
  9. Eran Guse, 2004. "Expectational Business Cycles," Money Macro and Finance (MMF) Research Group Conference 2004 97, Money Macro and Finance Research Group. [Downloadable!]
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  10. Paloviita, Maritta & Mayes, David, 2004. "The use of real-time information in Phillips curve relationships for the euro area," Discussion Paper Series 1: Economic Studies 2004,28, Deutsche Bundesbank, Research Centre. [Downloadable!]
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  11. Koskela , Erkki & Uusitalo , Roope, 2004. "Unintended convergence – how Finnish unemployment reached the European level," Research Discussion Papers 6/2004, Bank of Finland. [Downloadable!]
  12. David G. Mayes & Matti Virén, 2004. "Asymmetries in the Euro area economy," Macroeconomics 0404024, EconWPA. [Downloadable!]
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  13. Schaling , Eric & Eijffinger , Sylvester & Tesfaselassie , Mewael, 2004. "Heterogeneous information about the term structure, least-squares learning and optimal rules for inflation targeting," Research Discussion Papers 23/2004, Bank of Finland. [Downloadable!]
  14. Olli Castrén & Tuomas Takalo & Geoffrey Wood, 2004. "Labour market reform and the sustainability of exchange rate pegs," Working Paper Series 406, European Central Bank. [Downloadable!]
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Cited by:
(explanations, 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.)

  1. Suvanto , Antti & Hukkinen , Juhana, 2004. "Stable price level and changing prices," Research Discussion Papers 28/2004, Bank of Finland. [Downloadable!]
  2. Puhakka, Mikko, 2004. "Equilibrium dynamics under lump-sum taxation in an exchange economy with skewed endowments," Research Discussion Papers 29/2004, Bank of Finland. [Downloadable!]
  3. Mikko Puhakka, 2005. "Equilibrium dynamics under lump-sum taxation in an exchange economy with skewed endowments," Macroeconomics 0508033, EconWPA. [Downloadable!]
  4. Leitemo, Kai & Söderström , Ulf, 2004. "Robust monetary policy in the New-Keynesian framework," Research Discussion Papers 31/2004, Bank of Finland. [Downloadable!]
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  5. Antti Suvanto & Juhana Hukkinen, 2005. "Stable price level and changing prices," Macroeconomics 0508034, EconWPA. [Downloadable!]
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