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An Empirical Analysis of the Trading Structure at the Stockholm Stock Exchange

Author

Listed:
  • Niemeyer, Jonas

    (Dept. of Financial Stability)

  • Sandås, Patrik

    (University of Virginia)

Abstract

This paper describes and analyzes the trading structure at the Stockholm Stock Exchange. In the empirical part, we report stylized facts based on intraday transaction and order book data, focusing on the intraday behavior of returns, trading activity, order palcement and bid/ask spread, on the importance of the tick size and finally on some characteristics of the limit order book. Our main empirical conclusions are that a) the indraday U-chape in trading activity found in earlier U.S. studies on the whole also pertains to the Stockholm Stock Exchange, b) the limit order placement also followas an intraday U-shape, c) there is no distinct intraday pattern in returns, d) the volatility and bid/ask spread seems to be higher at the beginning of the trading day, e) the tick size is economically important, and f) the price impact of an order is a non-linear function of its quantity, implying price inelastic demand and supply.

Suggested Citation

  • Niemeyer, Jonas & Sandås, Patrik, 1995. "An Empirical Analysis of the Trading Structure at the Stockholm Stock Exchange," SSE/EFI Working Paper Series in Economics and Finance 44, Stockholm School of Economics.
    • Handle: RePEc:hhs:hastef:0044
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    References listed on IDEAS

    as
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    Cited by:

    1. Al-Suhaibani, Mohammad & Kryzanowski, Lawrence, 2000. "An exploratory analysis of the order book, and order flow and execution on the Saudi stock market," Journal of Banking & Finance, Elsevier, vol. 24(8), pages 1323-1357, August.
    2. Söderberg, Jonas, 2008. "Liquidity on the Scandinavian Order-driven Stock Exchanges," CAFO Working Papers 2009:11, Linnaeus University, Centre for Labour Market Policy Research (CAFO), School of Business and Economics.
    3. Anthony D. Hall & Nikolaus Hautsch, 2004. "A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market," Discussion Papers 04-07, University of Copenhagen. Department of Economics.
    4. Matthew J. Clayton & Bjorn N. Jorgensen & Kenneth A. Kavajecz, "undated". "On the Formation and Structure of International Exchanges," Rodney L. White Center for Financial Research Working Papers 22-99, Wharton School Rodney L. White Center for Financial Research.
    5. Andersson, Patric & Tour, Richard, 2005. "How to sample behavior and emotions of traders : [a psychological approach and an empirical example]," Papers 05-30, Sonderforschungsbreich 504.
    6. Gyarmati, Ákos & Lublóy, Ágnes & Váradi, Kata, 2012. "The Budapest liquidity measure and the price impact function," MPRA Paper 40339, University Library of Munich, Germany.
    7. Maslov, Sergei & Mills, Mark, 2001. "Price fluctuations from the order book perspective—empirical facts and a simple model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 299(1), pages 234-246.
    8. W. Yang, 1999. "The Demand for and Supply of Shares. An Empirical Study of the Limit Order Book on the ASX," Economics Discussion / Working Papers 99-03, The University of Western Australia, Department of Economics.
    9. Niclas Hagelin, 2000. "Index option market activity and cash market volatility under different market conditions: an empirical study from Sweden," Applied Financial Economics, Taylor & Francis Journals, vol. 10(6), pages 597-613.
    10. Visaltanachoti, Nuttawat & Charoenwong, Charlie & Ding, David K., 2008. "Liquidity distribution in the limit order book on the stock exchange of Thailand," International Review of Financial Analysis, Elsevier, vol. 17(2), pages 291-311.
    11. Lublóy, Ágnes & Gyarmati, Ákos & Váradi, Kata, 2012. "Virtuális árhatás a Budapesti Értéktőzsdén [Virtual price effects on the Budapest stock exchange]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(5), pages 508-539.
    12. repec:cte:wbrepe:wb057718 is not listed on IDEAS

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    More about this item

    Keywords

    Market microstructure; stock market; trading systems; limit order book;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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