Trading Patterns and Market Integration in Overlapping Experimental Asset Markets
通过实验室资产市场模拟欧美股票交叉上市的交易时段，研究交易限制对交易活动、价格发现和流动性的影响，发现限制会减少交易量、将交易集中到重叠期，并在极端资产价值时阻碍价格发现。
Abstract This paper examines trading patterns and market integration using laboratory asset markets. Our markets are designed to approximately correspond to the trading day for stocks cross-listed in markets in Europe and North America. Some of our markets feature timing restrictions so that participants cannot trade across markets except during a fully integrated overlap period. Comparison of markets with and without timing restrictions shows that restrictions reduce trading activity and shift transactions to the overlap period. When asset values are extreme, price discovery can be impeded when trading restrictions exist. The measurement of liquidity suggests that trading restrictions increase overall spreads.