Trading Nokia: the roles of the Helsinki vs the New York stock exchanges

Arbeitspapier

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.

Object Details

• ISBN: 952-462-176-2
• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Bank of Finland Discussion Papers ; No. 26/2004

Classification and Topics

• Classification: Wirtschaft ; Information and Market Efficiency; Event Studies; Insider Trading ; General Financial Markets: Other
• Subject: cross-listing ; Autoregressive Conditional Duration ; market microstructure

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Jokivuolle, Esa ; Lanne, Markku
• Event: Veröffentlichung
• (who): Bank of Finland
• (where): Helsinki
• (when): 2004

Further information

• Handle: http://hdl.handle.net/10419/211993
• Last update: 10.03.2025, 11:44 AM CET