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Intraday Trading of Island (As Reported to the Cincinnati Stock Exchange) and NASDAQ

In: Advances In Quantitative Analysis Of Finance And Accounting New Series

Author

Listed:
  • Van T. Nguyen

    (University of Mississippi, College of Business, Holman Hall University, MS 38677, USA)

  • Bonnie F. Van Ness

    (University of Mississippi, College of Business, Holman Hall University, MS 38677, USA)

  • Robert A. Van Ness

    (University of Mississippi, College of Business, Holman Hall University, MS 38677, USA)

Abstract

On March 18, 2002, Island began reporting its trades to the Cincinnati Stock Exchange. This change in reporting allows us to examine Island's trading behavior. We find distinct intraday patterns for the number of trades and volume. Both NASDAQ and Island exhibit intraday U-shaped patterns for the number of trades and volume, however, the difference in the two also shows a U-shaped pattern. In addition, we analyze the probability of informed trading around the reporting change. We find no difference in the probability of informed trading on NASDAQ and Island following the change, as well as no significant difference in the probability of informed trading for NASDAQ before and after the change.

Suggested Citation

  • Van T. Nguyen & Bonnie F. Van Ness & Robert A. Van Ness, 2005. "Intraday Trading of Island (As Reported to the Cincinnati Stock Exchange) and NASDAQ," World Scientific Book Chapters, in: Cheng-Few Lee (ed.), Advances In Quantitative Analysis Of Finance And Accounting New Series, chapter 6, pages 89-104, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812701213_0006
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