Registered trader participation during the Toronto Stock Exchange's pre-opening session
AbstractThis paper documents order submission strategies during the Toronto Stock Exchange's pre-opening session. I find that the registered trader (RT) actively participates in the market opening despite not being able to set the opening price directly and not having an apparent informational advantage. I find that RT opening trades are profitable, are able to moderate overnight price changes, and may be motivated, in part, by inventory adjustment concerns. I focus on interlisted stocks that simultaneously open for trading under two different mechanisms and show how the comparative levels of pre-trade market transparency of each exchange impacts RT profits and participation.
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Bibliographic InfoPaper provided by Queen's University, Department of Economics in its series Working Papers with number 997.
Length: 44 pages
Date of creation: Nov 2000
Date of revision:
Registered trader; market transparency; interlisted securities; price discovery;
Find related papers by JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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