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CONCENTRATED OPENING VOLUME: MARKET CLOSURE OR STRATEGIC TRADING?
Author(s) -
Asem Ebenezer
Publication year - 2007
Publication title -
journal of financial research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.319
H-Index - 49
eISSN - 1475-6803
pISSN - 0270-2592
DOI - 10.1111/j.1475-6803.2007.00216.x
Subject(s) - closure (psychology) , volume (thermodynamics) , extension (predicate logic) , algorithmic trading , economics , business , financial economics , monetary economics , market economy , computer science , physics , quantum mechanics , programming language
The NYSE extended its trading hours on September 30, 1985, by opening at 9:30 a.m. rather than at 10:00 a.m. Whereas the market closure models predict that the extension would result in lower relative volume and return variability at the open, the strategic trading models predict that the opening volume and return variability would remain relatively the same. Evidence around the extension suggests that the relative opening volume and return variability declined initially but increased gradually to their pre‐extension levels. This evidence favors the strategic trading model explanation of the heightened opening volume.