Direct Evidence of Non‐trading on the London Stock Exchange
发现1975至1995年间伦敦证券交易所近44%的股票在月末未交易，比例远高于美国市场，并探讨了非交易与股票收益自回归及季节性行为的关系，以及报告规则变更对系统性风险估计的影响。
The extent of non‐trading is shown to be much greater in the UK than in the more heavily researched US equity markets. Over the period 1975 to 1995 we find that almost 44% of all stocks in our sample failed to trade on the last day of a given month, a figure which is significantly higher than for stocks in the US (see Foerster and Keim, 1993). In this paper we investigate the relationship between the non‐trading of UK stocks and the autoregressive and seasonal behaviour of UK stock returns. In addition, we find that stocks are much more likely to be recorded as not having traded on the last day of the month in the period prior to April 1981 than after this date. We trace this result to a reporting requirement change on the London Stock Exchange and investigate whether the change has any real implications for systematic risk estimates over this period. We also find that alternative methods for calculating betas, in the presence of thin trading, are very sensitive to stock size and to non‐trading.