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Registered trader participation during the Toronto Stock Exchange's pre-opening session

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Author Info
Ryan Davies (Department of Economics, Queen's University)

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Abstract

This 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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File URL: http://www.econ.queensu.ca/working_papers/papers/qed_wp_997.pdf
File Format: application/pdf
File Function: First version 2000
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Publisher Info
Paper provided by Queen's University, Department of Economics in its series Working Papers with number 997.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 44 pages
Date of creation: Nov 2000
Date of revision:
Handle: RePEc:qed:wpaper:997

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Related research
Keywords: 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)

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. Flood, Mark D, et al, 1999. "Quote Disclosure and Price Discovery in Multiple-Dealer Financial Markets," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 12(1), pages 37-59.
  2. Luis Angel Medrano & Xavier Vives, 1998. "Strategic Behavior and Price Discovery," Harvard Institute of Economic Research Working Papers 1825, Harvard - Institute of Economic Research.
    Other versions:
  3. McInish, Thomas H & Wood, Robert A, 1992. " An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks," Journal of Finance, American Finance Association, vol. 47(2), pages 753-64, June. [Downloadable!] (restricted)
  4. Madhavan, Ananth & Panchapagesan, Venkatesh, 2000. "Price Discovery in Auction Markets: A Look Inside the Black Box," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 13(3), pages 627-58.
  5. Bloomfield, Robert & O'Hara, Maureen, 1999. "Market Transparency: Who Wins and Who Loses?," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 12(1), pages 5-35.
  6. Bloomfield, Robert & O'Hara, Maureen, 2000. "Can transparent markets survive?," Journal of Financial Economics, Elsevier, vol. 55(3), pages 425-459, March. [Downloadable!] (restricted)
  7. Bruno Biais & Pierre Hillion & Chester Spatt, 1999. "Price Discovery and Learning during the Preopening Period in the Paris Bourse," Journal of Political Economy, University of Chicago Press, vol. 107(6), pages 1218-1248, December. [Downloadable!] (restricted)
  8. Madhavan, Ananth & Porter, David & Weaver, Daniel, 2005. "Should securities markets be transparent?," Journal of Financial Markets, Elsevier, vol. 8(3), pages 265-287, August. [Downloadable!] (restricted)
  9. Chan, K C & Christie, William G & Schultz, Paul H, 1995. "Market Structure and the Intraday Pattern of Bid-Ask Spreads for NASDAQ Securities," Journal of Business, University of Chicago Press, vol. 68(1), pages 35-60, January. [Downloadable!] (restricted)
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This page was last updated on 2009-11-9.

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