SSE/EFI Working Paper Series in Economics and Finance
An Empirical Analysis of the Trading Structure at the Stockholm Stock Exchange
() 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
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- 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
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