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Intraday analysis of market integration: Dutch blue chips traded in Amsterdam and New York

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  • Hupperets, Erik C. J.
  • Menkveld, Albert J.

Abstract

This discussion paper led to an article in the Journal of Financial Markets (2002). Volume 5, pages 57-82. Market integration is studied for Dutch stocks cross-listed at the NYSE.Trading starts in Amsterdam and ends in New York with a one-hour overlap.Both markets are not perfectly integrated in that they can be viewed as onemarket with the well-documented U-shape in volatility, volume and spread.Increased values for the hour of overlap suggest informed trading. Zoomingin on this hour, markets are integrated in that price discovery on bothsides of the Atlantic reflects the same underlying, new information. Notconsistent across all stocks is the origin of this information, Amsterdam, New York or both.
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  • Hupperets, Erik C. J. & Menkveld, Albert J., 2002. "Intraday analysis of market integration: Dutch blue chips traded in Amsterdam and New York," Journal of Financial Markets, Elsevier, vol. 5(1), pages 57-82, January.
    • Handle: RePEc:eee:finmar:v:5:y:2002:i:1:p:57-82
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