Trading Patterns and Market Integration in Overlapping Experimental Asset Markets

Patricia Chelley-Steeley; Brian D. Kluger; James M. Steeley

doi:10.1017/S0022109015000563

Trading Patterns and Market Integration in Overlapping Experimental Asset Markets

Patricia Chelley-Steeley, Brian D. Kluger, James M. Steeley

Finance

Research output: Contribution to journal › Article › peer-review

3 Citations (Scopus)

245 Downloads (Pure)

Abstract

This paper examines trading patterns and market integration using laboratory asset markets. Our markets are designed to approximately correspond to the trading day for stocks cross-listed in markets in Europe and North America. Some of our markets feature timing restrictions so that participants cannot trade across markets except during a fully integrated overlap period. Comparison of markets with and without timing restrictions shows that restrictions reduce trading activity and shift transactions to the overlap period. When asset values are extreme, price discovery can be impeded when trading restrictions exist. The measurement of
liquidity suggests that trading restrictions increase overall spreads.

Original language	English
Pages (from-to)	1473-1499
Number of pages	27
Journal	Journal of Financial and Quantatative Analysis
Volume	50
Issue number	6
DOIs	https://doi.org/10.1017/S0022109015000563
Publication status	Published - 1 Dec 2015

Keywords

OVERLAPPING MARKETS, MICROSTRUCTURE, TRADING ACTIVITY

ASJC Scopus subject areas

Economics, Econometrics and Finance(all)

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10.1017/S0022109015000563

Chelley-Steeley_et_al_Trading_Patterns_Market_Integration_JFQA_Post-Print
Copyright © Michael G. Foster School of Business, University of Washington 2016 Validated Feb 2016
Accepted author manuscript, 883 KBLicence: None: All rights reserved

Cite this

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Trading Patterns and Market Integration in Overlapping Experimental Asset Markets

Abstract

Keywords

ASJC Scopus subject areas

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