SSE/EFI Working Paper Series in Economics and Finance,
Stockholm School of Economics

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

JEL-codes: G10; G15

35 pages, January 1995

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Published as

Jonas Niemeyer 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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