Intra-day Patterns in the Returns, Bidask Spereads, and Trading Volume of Stocks Traded on the New York Stock Exchange
AbstractMuch research has demonstrated the existence of patterns in high-frequency equity returns, return volatility, bid-ask spreads and trading volume. In this paper, we employ a new test for detecting periodicities based on a signal coherence function. The technique is applied to the returns, bid-ask spreads, and trading volume of thirty stocks traded on the NYSE. We are able to confirm previous findings of an inverse J-shaped pattern in spreads and volume through the day. We also demonstrate that such intraday effects dominate day of the week seasonalities in spreads and volumes, while there are virtually no significant periodicities in the returns data. Our approach can also leads to a natural method for forecasting the time series, and we find that, particularly in the case of the volume series, the predictions are considerably more accurate than those from naïve methods.
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Bibliographic InfoPaper provided by Henley Business School, Reading University in its series ICMA Centre Discussion Papers in Finance with number icma-dp2003-14.
Length: 30 pages
Date of creation: Oct 2003
Date of revision:
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More information through EDIRC
spectral analysis; peridocities; seasonality; intraday paterns; bid-ask spread; trading volume;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- F31 - International Economics - - International Finance - - - Foreign Exchange
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