Volume effects in dual traded stocks: Hong Kong and London evidence
This paper considers the effect of extended trading in stocks that are traded in both Hong Kong and London. Trading volumes in the stocks, in both markets, appear significantly lower on Mondays and Tuesdays and on days immediately after holidays. Studies elsewhere attribute subdued trading on Mondays to the trading activities of institutions. Significant differences in day-of-the week volumes are not apparent between the two markets, however, despite noticeable differences in the proportions of institutional investment in the two settings. More importantly, day-of-the-week variations in market volume are not strongly correlated with the timing of corporate disclosures. However, large Friday volumes in London are noted to coincide with increased macroeconomic disclosure activity in the US.
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Volume (Year): 9 (1999)
Issue (Month): 6 ()
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