The role of information and trading volume on intradaily and weekly returns patterns in the Spanish stock market
AbstractThe aim of this work is to document new results about intradaily and weekly effects in the Spanish stock market, relating the returns in the stock index, during trading and non trading hours, to the arrival of information and daily trading volume. Weekly and intraday patterns are examined using the index Ibex-35 transaction data. Twenty-three months oftransaction records of the Ibex-35, at 15-minutes intervals, were examined in an attempt to better understand the dayof-the week effect and trading return patterns, to further characterize systematic weekly and intradaily price patterns. Several results were found: -There are cross-sectional differences in weekday patterns found in both trading and nontrading period returns. These patterns are pervasive over time and for different trading volumes. We found a positive relation between opening volume and unexpected overnight volatility, which is reflected in a higher standard deviation of returns, during the first to first and half hours of trading. -There are significant weekday differences in intraday trading returns in the first four hours of trading. On Monday (and Wednesday) returns are negative, while on the other weekdays, returns in this interval, are positive.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Universidad Carlos III de Madrid in its series Open Access publications from Universidad Carlos III de Madrid with number info:hdl:10016/7065.
Date of creation:
Date of revision:
Contact details of provider:
Web page: http://www.uc3m.es
Monday effect; Intradily returns in stock indexes; Information and trading volume;
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Harris, Lawrence, 1986. "A transaction data study of weekly and intradaily patterns in stock returns," Journal of Financial Economics, Elsevier, vol. 16(1), pages 99-117, May.
- Brown, Stephen J. & Warner, Jerold B., 1980. "Measuring security price performance," Journal of Financial Economics, Elsevier, vol. 8(3), pages 205-258, September.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Contact person).
If references are entirely missing, you can add them using this form.