In fact, a new study says it can be twice as expensive to trade after-hours.

However, operators of electronic trading networks and online brokers who serve after-hours traders argue that it's premature to draw conclusions on the extended sessions, arguing that the study doesn't take into account the influx of individual investors that occurred last fall.

The study, conducted by University of Rochester, N.Y., professors Michael Barclay and Terrence Hendershott, looked at after-hours trading patterns from Jan. 1, 1999 to June 30, 1999.

The study found that "the after-hours market is significantly more expensive than the normal trading day market," Barclay said.

The higher price tag for trading outside the normal 9:30 a.m. to 4 p.m. session stems from so-called bid-ask spread costs, or the fees paid to middlemen brokers who complete stock trades for investors, he explained.

Barclay said bid-ask costs during extended hours sessions are typically about twice — and sometimes two-and-a-half times — as high as during regular trading hours.

Here's how the costs escalate:

Microsoft was trading at around $102 Friday morning. An investor seeking to buy shares of Microsoft might typically bid $102.12 1/2 for the stock, but actually pay $102.25. The 12 1/2 cent difference — known as the spread — goes to the broker who completed the trade.

During extended sessions, however, trading volume is much thinner, so it's more difficult to find matches for buy and sell orders, Barclay explained. Consequently, the cost of matching buyers and sellers is higher, he said.

Outside the normal trading session "volume is less so it's less likely that someone else wants to buy at the same time you want to sell," Barclay said.

After-hours volume has increased since last fall, when a handful of computerized trading systems, known as electronic communications networks, or ECNs, began allowing individual investors access to the extended hours sessions.

Prior to last summer, after-hours trading was open only to large professional investors. That has some questioning the validity of the study.

Carolyn Chin, a spokeswoman for MarketXT, an after-hours ECN that caters exclusively to small investors, said the study's findings are incomplete because the research was completed before small investors had access to extended sessions.

In addition, Chin noted that most ECNs are trying to increase trading volume by aligning themselves with online brokerage companies, which funnel investors to the ECNs, and market making firms, whose role in the stock trading process is to create active markets.

MarketXT, for example, was acquired earlier this week by online brokerage Tradescape.com. And the ECN aligned itself early on with Madoff Securities, one of the largest market makers in Nasdaq stocks.

But Barclay said the recent influx of small investors into the extended sessions has barely affected volume levels. The sessions, he said, are still dominated by the big players.

But that will change, said Tony Kafeiti, online supervisor at Castle Online, a Freeport, N.Y., discount brokerage firm that processes its customers' after-hours trades on ECNs.

"After hours trading is just starting to gain popularity. As you get a larger number of investors, you'll get tighter spreads" and trading costs will fall, he added.

Kafeiti noted that a number of popular ECNs have announced plans to begin trading some of the most actively traded stocks listed on the New York Stock Exchange, which should attract additional investors to the after-hours markets.

Small investors have so far used ECNs primarily to trade stocks listed on the computerized Nasdaq stock market.