S-WoPEc
 
Scandinavian Working Papers in Economics
HomeAboutSeriesSubject/JEL codesAdvanced Search
The Economic Research Institute, Stockholm School of Economics SSE/EFI Working Paper Series in Economics and Finance

No 44:
An Empirical Analysis of the Trading Structure at the Stockholm Stock Exchange

Jonas Niemeyer () and Patrik Sandås ()

Abstract: This paper describes and analyzes the trading structure at the Stockholm Stock Exchange. In the empirical part, we report stylized facts based on intraday transaction and order book data, focusing on the intraday behavior of returns, trading activity, order palcement and bid/ask spread, on the importance of the tick size and finally on some characteristics of the limit order book. Our main empirical conclusions are that a) the indraday U-chape in trading activity found in earlier U.S. studies on the whole also pertains to the Stockholm Stock Exchange, b) the limit order placement also followas an intraday U-shape, c) there is no distinct intraday pattern in returns, d) the volatility and bid/ask spread seems to be higher at the beginning of the trading day, e) the tick size is economically important, and f) the price impact of an order is a non-linear function of its quantity, implying price inelastic demand and supply.

Keywords: Market microstructure; stock market; trading systems; limit order book; (follow links to similar papers)

JEL-Codes: G10; G15; (follow links to similar papers)

35 pages, January 1995

Before downloading any of the electronic versions below you should read our statement on copyright.
Download GhostScript for viewing Postscript files and the Acrobat Reader for viewing and printing pdf files.

Full text versions of the paper:

hastef0044.ps    PostScript file (1.17MB) 
hastef0044.ps.zip    PKZipped PostScript (324kB) 
hastef0044.pdf    PDF-file (183kB) 
hastef0044.pdf.zip    PDF-file (zipped) (163kB) 
Download Statistics
This paper is published as:
Niemeyer, Jonas and Patrik Sandås, (1993), 'An Empirical Analysis of the Trading Structure at the Stockholm Stock Exchange', Journal of Multinational Financial Management, Vol. 3, pages 63-101



Questions (including download problems) about the papers in this series should be directed to Helena Lundin ()
Report other problems with accessing this service to Sune Karlsson () or Helena Lundin ().

Programing by
Design by Joachim Ekebom

Handle: RePEc:hhs:hastef:0044 This page was generated on 2014-12-14 19:22:49