TY - JOUR
T1 - Switching to Continuous Trading and its Impact on Return Behavior and Volume of Trade
AU - Lauterbach, Beni
AU - Ungar, Meyer
PY - 1997
Y1 - 1997
N2 - The study investigates changes that occurred following the transfer of 29 stocks in Israel from a single daily auction to a more continuous-like trading system. On average, the standard deviation of daily market model residuals decreased, and trading volumes increased. This suggests that continuous trading promotes end-of-day price efficiency and better suits investors' trading-mechanism preferences. An interesting phenomenon observed is that the noisiness of end-of-day prices decreases immediately after the transfer, while volume rises only later on. This constitutes evidence that adding rounds of trade contributes to price accuracy even when trading volumes do not increase.
AB - The study investigates changes that occurred following the transfer of 29 stocks in Israel from a single daily auction to a more continuous-like trading system. On average, the standard deviation of daily market model residuals decreased, and trading volumes increased. This suggests that continuous trading promotes end-of-day price efficiency and better suits investors' trading-mechanism preferences. An interesting phenomenon observed is that the noisiness of end-of-day prices decreases immediately after the transfer, while volume rises only later on. This constitutes evidence that adding rounds of trade contributes to price accuracy even when trading volumes do not increase.
UR - http://www.scopus.com/inward/record.url?scp=0031523151&partnerID=8YFLogxK
U2 - 10.1023/A:1007965627691
DO - 10.1023/A:1007965627691
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AN - SCOPUS:0031523151
SN - 0920-8550
VL - 12
SP - 39
EP - 50
JO - Journal of Financial Services Research
JF - Journal of Financial Services Research
IS - 1
ER -