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Trading Volume, Market Microstructure, Market Efficiency, Equity markets
We investigate the pattern of intra-day volume of trading in five different equity markets: The New York Stock Exchange and NASDAQ in the US, and The London Stock Exchange, Deutsche Boerse, and Euronext Paris in Europe. For the European markets, we repeat our investigation for two separate study periods to check for the consistency of our results and also to account for important rule changes that took place in the middle of the year in those markets. For the US markets, the intra-day pattern of volume is a reverse J-shape, consistent with previous literature. On the other hand, for all the European markets, volume is quite low at the open and picks up towards the end of the trading day. The most striking case is the London Stock Exchange, where, at the beginning of the day, the volume is the lowest across all markets studied. Additionally, we find that the rule changes in the European markets pertaining to introduction of call auctions, and extension of trading hours met with mixed success.