An analysis of transactions data for the Stock Exchange of Singapore: patterns, absolute price change, trade size and number of transactions

Abstract

The Stock Exchange of Singapore (SES) operates a trading system that is fundamentally different from the NYSE in several different ways. They include the use of a fully computerized screen-based dealer system, the use of good-till-day limit orders, the absence of batch trading at the open, and a 90-minute trading halt in the midday. The availability of the SES transactions data allows us to examine intraday patterns and the relation between absolute price change, trade size and number of transactions. The presence of a trading halt in the midday results in two crude U-shaped returns pattern but it does not cause volume to be unusually high right before or after the halt. We also find a positive relationship between absolute price changes and the number of transactions. Despite differences in the underlying market microstructure, there are a surprisingly number of cases of consistency between our results and those of the NYSE and NASDAQ.