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
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