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Trading halts and market activity: an analysis of volume at the open and the close

Article Abstract:

This paper analyzes how the daily opening and closing of financial markets affect trading volume. We model the desire to trade at the beginning and end of the day as a function of overnight return volatility. NYSE data from 1933-1988 indicate that closing volume is positively related to overnight volatility, while volume at the open is positively related to both expected and unexpected volatility from the previous night. We interpret the symmetric response of trading at the open and the close to expected volatility as being due to investor heterogeneities in the ability to bear risk when the market is closed. The desire of investors to trade prior to market closings indicates a cost of mandating marketwide circuit breakers. (Reprinted by permission of the publisher.)

Author: Mulherin, J. Harold, Gerety, Mason S.
Publisher: Blackwell Publishers Ltd.
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 1992
Security and commodity exchanges, Prices and rates, Stocks, Stock prices

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Insider trading in the OTC market

Article Abstract:

In this paper, we examine the profitability of insider trading in firms whose securities trade in the OTC/NASDAQ market. Although the evidence suggests timing and forecasting ability on the part of insiders, high transaction costs (especially bid-ask spreads) appear to eliminate the potential for positive abnormal returns from active trading. By implication, outside investors who mimic the trading of insiders are also precluded from earning abnormal profits. In addition, we provide evidence on the determinants of insiders' profits. The data suggest that insiders closer to the firm trade on more valuable information than insiders removed from the firm. (Reprinted by permission of the publisher.)

Author: Howe, John S., Lin, Ji-Chai
Publisher: Blackwell Publishers Ltd.
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 1990
Insider trading in securities, Insider trading (Securities), NASDAQ Market System, Over-the-counter markets, Over the counter markets

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Subjects list: Research, Stock-exchange, Stock exchanges
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