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| Tekijä: | Asem, E. Kaul, A. |
| Otsikko: | Trading time and trading activity: Evidence from extensions of the NYSE trading day |
| Lehti: | European Journal of Finance
2008 : APR/JUN, VOL. 14:3-4, p. 225-242 |
| Asiasana: | stock exchanges trading turnover event studies USA |
| Kieli: | eng |
| Tiivistelmä: | The New York Stock Exchange extended its trading hours by 30 min in 1974 and in 1985. The first extension (here as: extn.) resulted in a delayed close and the second in an early open. There is found a volume shift to the new period after each extn. In addition, there is a larger increase in volume after the 1985 extn. than after the 1974 one. It is argued that the second effect is explained by the first. The extn. at the end of the day allows some investors to postpone their trades resulting in occasional information cancellation or discovery. This mutes the effect of the volume extn. In contrast, the extn. at the start of the day allows some investors to accelerate trades, which inhibits information cancellation or discovery with its negative effect on volume. This explanation suggests the effect of an volume extn. to depend, at least in part, on its timing. |
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