The impacts of the changes in the trading hours of securities markets

Abstract

Several stock exchanges have undertaken changes in trading hours in order to boost their reputation by putting themselves at par with peer exchanges in terms of offering their trading facilities for an extended period of time. Such policies are implemented so that traders would be offered more opportunities to contribute to the market as well as to offer more flexibility to brokers to serve their clients’ requests. The Malta Stock Exchange extended its daily trading period by three hours on 18th April 2017, with the intention of attaining more liquidity in the long term and to promote better efficiency for all stakeholders operating within the market. The focus of this dissertation is to analyze the impacts of the changes in trading hours on the Maltese securities market and related players. A quantitative approach was adopted to evaluate if the changes in trading hours of the Malta Stock Exchange lead to changes in volatility, the comovement with prices of a European counterpart Index, and the volumes traded on the market. In order to complement the quantitative investigations, a qualitative approach was also taken by conducting semi-structured interviews with practitioners in the field.