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Trading time and trading activity: evidence from extensions of the NYSE trading day

Author

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  • Ebenezer Asem
  • Aditya Kaul

Abstract

The New York Stock Exchange extended its trading hours by 30 min in 1974 and in 1985; the first extension resulting in a delayed close and the second in an early open. We find a shift in volume to the new period after each extension. Additionally, there is a larger increase in volume after the 1985 extension than after the 1974 extension. We argue that the second effect is explained by the first. The extension at the end of the day allows some investors to postpone their trades, which results in occasional information cancellation or discovery; this mutes the effect of the extension on volume. In contrast, the extension at the start of the day allows some investors to accelerate trades, which precludes information cancellation or discovery and its negative effect on volume. This explanation suggests that the effect of an extension on volume depends, at least in part, on its timing.

Suggested Citation

  • Ebenezer Asem & Aditya Kaul, 2008. "Trading time and trading activity: evidence from extensions of the NYSE trading day," The European Journal of Finance, Taylor & Francis Journals, vol. 14(3), pages 225-242.
    • Handle: RePEc:taf:eurjfi:v:14:y:2008:i:3:p:225-242
    DOI: 10.1080/13518470801892236
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    Cited by:

    1. Nikkinen, Jussi & Rothovius, Timo, 2019. "Market specific seasonal trading behavior in NASDAQ OMX electricity options," Journal of Commodity Markets, Elsevier, vol. 13(C), pages 16-29.
    2. Mahmoud Qadan & David Y. Aharon, 2019. "The length of the trading day and trading volume," Eurasian Business Review, Springer;Eurasia Business and Economics Society, vol. 9(2), pages 137-156, June.
    3. Xuan Yao & Xiaofeng Hui & Kaican Kang, 2021. "Can night trading sessions improve forecasting performance of gold futures' volatility in China?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(5), pages 849-860, August.

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