Trading Patterns and Market Integration in Overlapping Experimental Asset Markets

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

    Research output: Contribution to journalArticlepeer-review

    3 Citations (Scopus)
    175 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 languageEnglish
    Pages (from-to)1473-1499
    Number of pages27
    JournalJournal of Financial and Quantatative Analysis
    Volume50
    Issue number6
    DOIs
    Publication statusPublished - 1 Dec 2015

    Keywords

    • OVERLAPPING MARKETS, MICROSTRUCTURE, TRADING ACTIVITY

    ASJC Scopus subject areas

    • Economics, Econometrics and Finance(all)

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