Faculty of Economics and Business Administration Publications Database

An Explorative Investigation of Intraday Trading on the German Stock Market

Authors:
Kirchner, Tobias
Source:
Volume: 12
Number: 1
Pages: 13 - 31
ISSN-Print: 1555-4961
Link External Source: Online Version
Year: 1998
Abstract:

The paper contains the first extensive intraday study of the German stock market (floor and computer trading) using continuously recorded transaction prices and volumes for the thirty most liquid German stocks over the period from 1990 to 1994. The results for interval data are similar to those obtained for other markets. Using transaction-by-transaction returns we find that volatility seems to be related to information flow rather than to market structure. Although the computerized market opens earlier than the floor opening prices from the floor seem to have an impact on the computer market.

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