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Trading Patterns and Market Integration in Overlapping Experimental Asset Markets

Published online by Cambridge University Press:  24 February 2016

Patricia Chelley-Steeley ,
Brian Kluger ,
James Steeley  and
Paul Adams
Patricia Chelley-Steeley
Affiliation:
chelley-steeley@bham.ac.uk, University of Birmingham, Birmingham Business School, Birmingham B15 2TT, United Kingdom
Brian Kluger*
Affiliation:
brian.kluger@uc.edu, University of Cincinnati, Lindner College of Business, Cincinnati, OH 45221
James Steeley
Affiliation:
j.steeley@keele.ac.uk, Keele University, Keele Management School, Keele ST5 5BG, United Kingdom
*
*Corresponding author: brian.kluger@uc.edu
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Abstract

This paper examines trading patterns and market integration using laboratory asset markets. Our markets are designed to approximately correspond to the trading day for stocks cross-listed in markets in Europe and North America. Some of our markets feature timing restrictions so that participants cannot trade across markets except during a fully integrated overlap period. Comparison of markets with and without timing restrictions shows that restrictions reduce trading activity and shift transactions to the overlap period. When asset values are extreme, price discovery can be impeded when trading restrictions exist. The measurement of liquidity suggests that trading restrictions increase overall spreads.

Type
Research Articles
Information
Journal of Financial and Quantitative Analysis , Volume 50 , Issue 6 , December 2015 , pp. 1473 - 1499
Copyright
Copyright © Michael G. Foster School of Business, University of Washington 2016 

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