Scandinavian Working Papers in Economics
HomeAboutSeriesSubject/JEL codesAdvanced Search
Bank of Finland Research Discussion Papers, Bank of Finland

No 26/2004:
Trading Nokia: The roles of the Helsinki vs the New York stock exchanges

Esa Jokivuolle () and Markku Lanne

Abstract: We use the Autoregressive Conditional Duration (ACD) framework of Engle and Russell (1998) to study the effect of trading volume on price duration (ie the time lapse between consecutive price changes) of a stock listed both in the domestic and the foreign market. As a case study we use the example of Nokia’s share, which is actively traded both in the Helsinki Stock Exchange and the New York Stock Exchange (NYSE). We find asymmetry in the volume-price duration relationship between the two markets. In the NYSE the negative relationship is much stronger and exists both during and outside common trading hours. Outside common trading hours no such relationship is significant in Helsinki. Based on the theory of Easley and O’Hara (1992), these results could be interpreted in that informed investors in Nokia mainly trade in the US market whereas Helsinki is the more liquidity-oriented trading place.

Keywords: cross-listing; Autoregressive Conditional Duration; market microstructure; (follow links to similar papers)

JEL-Codes: G14; G19; (follow links to similar papers)

27 pages, October 13, 2004

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:

0426.pdf    PDF-file
Download Statistics

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

Programing by
Design by Joachim Ekebom

Handle: RePEc:hhs:bofrdp:2004_026 This page was generated on 2014-12-14 19:21:31