Title

After-hours trading of NYSE stocks on the regional stock exchanges

Abstract

A large number of New York Stock Exchange (NYSE)-listed stocks are traded on the Chicago, Philadelphia, and Pacific exchanges, and these exchanges have extended their trading hours to permit trading in NYSE-listed stocks after the close of trading on the NYSE. Demand for after-hours trading on the regional exchanges is limited. The Pacific Stock Exchange, which transacts less than 40% of the combined regionals' trading volume during regular trading hours, captures more than 63% of the after-hours trades. We find that there is very little price discovery during after-hours trading. Almost all of the trades take place at either the NYSE closing ask, bid, or trade price. The most actively traded stocks intraday also tend to be the most actively traded stocks after hours. The percentage spreads and percentage half-spreads are significantly higher during the after-hours sessions on all three regional exchanges. Among the Chicago, Philadelphia, and Pacific exchanges, spreads are significantly lower after-hours on the Pacific exchange at the .10 level. Depth declines significantly during after-hours trading on the Chicago and Philadelphia exchanges and increases significantly on the Pacific exchange. © 2002 Published by Elsevier Science Inc.

Publication Title

Review of Financial Economics

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