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Volume effects in dual traded stocks: Hong Kong and London evidence

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  • Paul McGuinness

Abstract

This paper considers the effect of extended trading in stocks that are traded in both Hong Kong and London. Trading volumes in the stocks, in both markets, appear significantly lower on Mondays and Tuesdays and on days immediately after holidays. Studies elsewhere attribute subdued trading on Mondays to the trading activities of institutions. Significant differences in day-of-the week volumes are not apparent between the two markets, however, despite noticeable differences in the proportions of institutional investment in the two settings. More importantly, day-of-the-week variations in market volume are not strongly correlated with the timing of corporate disclosures. However, large Friday volumes in London are noted to coincide with increased macroeconomic disclosure activity in the US.

Suggested Citation

  • Paul McGuinness, 1999. "Volume effects in dual traded stocks: Hong Kong and London evidence," Applied Financial Economics, Taylor & Francis Journals, vol. 9(6), pages 615-625.
    • Handle: RePEc:taf:apfiec:v:9:y:1999:i:6:p:615-625
    DOI: 10.1080/096031099332069
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    References listed on IDEAS

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    1. Ho, Richard Yan-Ki & Cheung, Yan-Leung & Cheung, Daniel W. W., 1993. "Intraday prices and trading volume relationship in an emerging Asian market - Hong Kong," Pacific-Basin Finance Journal, Elsevier, vol. 1(2), pages 203-214, May.
    2. Oliver Hansch & N Naik & S Viswananthan, 1996. "Do Inventories Matter in Dealership Markets? Evidence from the London Stock Exchange," Archive Working Papers 012, Birkbeck, Department of Economics, Mathematics & Statistics.
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    Cited by:

    1. Faff, Robert W. & Hodgson, Allan & Saudagaran, Shahrokh, 2002. "International cross-listings towards more liquid markets: the impact on domestic firms," Journal of Multinational Financial Management, Elsevier, vol. 12(4-5), pages 365-390.
    2. Thusitha Mahipala & Howard Chan & Robert Faff, 2009. "Trading volume and information asymmetry: routine versus nonroutine earnings announcements in Australia," Applied Financial Economics, Taylor & Francis Journals, vol. 19(21), pages 1737-1752.
    3. Sheng-Yung Yang, 2007. "Inter-day return and volatility dynamics between Japanese ADRs and their underlying securities," Applied Financial Economics, Taylor & Francis Journals, vol. 17(10), pages 837-853.
    4. Wang, Steven Shuye & Meng Rui, Oliver & Firth, Michael, 2002. "Return and volatility behavior of dually-traded stocks: the case of Hong Kong," Journal of International Money and Finance, Elsevier, vol. 21(2), pages 265-293, April.
    5. Francis In & Sangbae Kim, 2012. "An Introduction to Wavelet Theory in Finance:A Wavelet Multiscale Approach," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8431, August.

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