Author: Michael J. Aitken
Publisher:
ISBN:
Category : Securities
Languages : en
Pages : 83

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Author: Min-Hsien Chiang
Publisher:
ISBN:
Category :
Languages : en
Pages :

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This article studies the intraday patterns of trading volume, volatility, and spreads and day-of-the-week variations for stock index options traded on the Taiwan Futures Exchange (TAIFEX). In addition, we examine the overnight variations in returns, volatility and spreads as well. We find that trading volume of TAIFEX options exhibit a U-shaped pattern. While the volatility at the market open is extremely volatile, the volatility quickly levels off for much of the rest of a trading. The bid-ask spreads pattern for TAIFEX options approximately follows a U-shaped pattern with a small hump immediately after 13:00 hours. The mean returns at Monday open for TAIFEX calls are lower while returns at the end of a trading day are larger. Calls have smaller overnight variations in volatility and bid-ask spreads compared to those in puts.

Author: Syed Mujahid Hussain
Publisher:
ISBN:
Category :
Languages : en
Pages :

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This paper undertakes a fresh empirical investigation of key financial market variables and the theories that link them. We employ high frequency 5-minute data that include transaction price, trading volume, and the close bid and ask quote for the period May 5, 2004 through September 29, 2005. We document a number of regularities in the pattern of intraday return volatility, trading volume and bid-ask spreads. We are able to confirm the reverse J-shaped pattern of intraday bid-ask spreads with the exception of a major bump following the intraday auction at 13:05 CET. The aggregate trading volume exhibits L-shaped pattern for the German blue chip index, while German index volatility displays a somewhat reverse J-shaped pattern with two major bumps at 14:30 and 15:30 CET. Our empirical findings show that contemporaneous and lagged trading volume and bid-ask spreads have numerically small but statistically significant effect on return volatility. Our results also indicate asymmetry in the effects of volume on conditional volatility. However, inclusion of both measures as proxy for informal arrival in the conditional volatility equation does not explain the well known volatility persistence in intraday stock returns.

Author: Steven L. Heston
Publisher:
ISBN:
Category :
Languages : en
Pages : 59

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Motivated by the literature on investment flows and optimal trading, we examine intraday predictability in the cross-section of stock returns. We find a striking pattern of return continuation at half-hour intervals that are exact multiples of a trading day, and this effect lasts for at least 40 trading days. Volume, order imbalance, volatility, and bid-ask spreads exhibit similar patterns, but do not explain the return patterns. We also show that short-term return reversal is driven by temporary liquidity imbalances lasting less than an hour and bid-ask bounce. Timing trades can reduce execution costs by the equivalent of the effective spread.

Author: Abhay Abhyankar
Publisher:
ISBN:
Category :
Languages : en
Pages :

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This paper uses a data set consisting of a complete history of all transactions and quotes to examine intraday patterns in trading volume, volatility and the quoted bid-ask spread in the market for FTSE-100 index futures. We also document a number of regularities in the pattern of daily returns and volatility of the cash index. Finally, we document intraday patterns in the basis, i.e. the contemporaneous difference between the futures price and the underlying cash index level. In general, we find returns vary somewhat over the day, reflecting in particular the influence of the US market openings in early afternoon London-time. We find that, while both volume and volatility exhibit a U-shaped pattern over the day, movements in the spread tend if anything to follow the opposite pattern. As far as consistency with the best-known microstructure models is concerned, our results are more supportive of the Brock and Kleidon (1992) market closures model than the Admati and Pfleiderer (1988) noise- trading model.

Author: Hao Zhang
Publisher:
ISBN:
Category :
Languages : en
Pages : 0

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This paper investigates intraday patterns in foreign exchange returns based on a sample of 16 currencies versus the U.S. dollar using high-frequency data for the period 2010-2015. We find that home currencies tend to depreciate during domestic trading sessions and appreciate during U.S. trading sessions after London markets are closed, indicating that intraday patterns in foreign exchange returns exist in many countries, including countries with capital controls. Intraday patterns in foreign exchange returns are significantly related to realized volatility, which reflects risk attributable to order flow and market sensitivity to order flow in domestic and foreign markets.

Author: Philippe Masset
Publisher:
ISBN:
Category :
Languages : en
Pages : 28

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This paper analyzes the behavior of the German DAX index intraday returns. We devote particular attention to three related empirical issues. First we provide an up-to-date characterization of the DAX intraday volatility patterns. They are mostly W-shaped with peaks at the opening, at 2.30pm and before the closing. We find some evidence suggesting that the implied volatility also follows some deterministic patterns over the trading day. Second we identify jumps in DAX returns. On jump days, they account on average for 15% to 25% of the daily variance. Jumps also tend to cluster and are not evenly distributed throughout the trading day. Third we estimate the impact of a price jump on volatility. We consider different proxies for volatility: absolute returns, implied volatility and realized volatility. Our results indicate that negative jumps trigger a strong upward correction in volatility. This correction starts just after a jump occured and persists during up to 25 minutes. On the other hand, positive jumps seem to have a much less significant impact on volatility. These results hold for all volatility proxies but they are more significant when we consider the implied volatility.

Author: K. C. Chan
Publisher:
ISBN:
Category : Stock quotations
Languages : en
Pages : 60

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This paper compares the intra-day patterns on the NYSE and AMEX of volatility, trading volume and bid-ask spreads for European dually- listed stocks, Japanese dually-listed stocks also listed in London, and Japanese dually-listed stocks not listed in London with American stocks of comparable average trading volume and volatility. It is shown that the intra-day patterns for these stocks are remarkably similar even though the public information flows differ markedly across these stocks during the trading day. In the morning, Japanese stocks have the greatest volatility and volume, followed by European stocks and American stocks. These rankings are reversed in the afternoon. We argue that these patterns are consistent with markets reacting to the overnight accumulation of public information which is greatest for Japanese stock and smallest for American stocks and inconsistent with the view that early morning volatility can be attributed to monopolistic specialist behavior.

Author: Ali F. Darrat
Publisher:
ISBN:
Category :
Languages : en
Pages : 13

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We examine the contemporaneous correlation as well as the lead-lag relation between trading volume and return volatility in all stocks comprising the Dow Jones Industrial Average (DJIA). We use 5-minute intraday data and measure return volatility by the EGARCH method. Contrary to the mixture of distribution hypothesis, the vast majority of the DJIA stock shows no contemporaneous correlation between volume and volatility. However, we find evidence of significant lead-lag relations between the two variables in a large number of the DJIA stocks in accordance with the sequential information arrival hypothesis.

Author: Edward H. Chow
Publisher:
ISBN:
Category : Stock exchanges
Languages : en
Pages : 148

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