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Intraday time and order execution quality dimensions

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  • Garvey, Ryan
  • Wu, Fei

Abstract

We examine intraday execution quality patterns on Nasdaq stocks using proprietary order-level data from a US broker dealer. Orders submitted midday execute slower than orders submitted around the open and close. However, midday orders have lower execution costs. Our results indicate that execution speed and execution cost exhibit offsetting intraday time-dependent patterns and these patterns appear to be induced by variations in informed trading levels. While some traders concentrate their trading activity around the open and close, others prefer to trade midday. Traders have varying preferences for when to trade, and offsetting patterns exist between speed and cost. These factors highlight the complexity in defining an optimal trading time, which, among other things, is dependent on the dimensional preferences of individual traders.

Suggested Citation

  • Garvey, Ryan & Wu, Fei, 2009. "Intraday time and order execution quality dimensions," Journal of Financial Markets, Elsevier, vol. 12(2), pages 203-228, May.
  • Handle: RePEc:eee:finmar:v:12:y:2009:i:2:p:203-228
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    References listed on IDEAS

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    Cited by:

    1. Davis, Ryan L. & Roseman, Brian S. & Van Ness, Bonnie F. & Van Ness, Robert, 2017. "1-share orders and trades," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 109-117.
    2. Härdle, Wolfgang Karl & Hautsch, Nikolaus & Mihoci, Andrija, 2012. "Modelling and forecasting liquidity supply using semiparametric factor dynamics," Journal of Empirical Finance, Elsevier, vol. 19(4), pages 610-625.
    3. George Tannous & Juan Wang & Craig Wilson, 2013. "The Intraday Pattern of Information Asymmetry, Spread, and Depth: Evidence from the NYSE," International Review of Finance, International Review of Finance Ltd., vol. 13(2), pages 215-240, June.
    4. Kalev, Petko S. & Pham, Linh T., 2009. "Intraweek and intraday trade patterns and dynamics," Pacific-Basin Finance Journal, Elsevier, vol. 17(5), pages 547-564, November.
    5. Ryan GARVEY & Fei WU, 2012. "Are Market Center Trading Cost Measures Reliable?," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 62(6), pages 505-517, December.
    6. Garvey, Ryan & Wu, Fei, 2010. "Speed, distance, and electronic trading: New evidence on why location matters," Journal of Financial Markets, Elsevier, vol. 13(4), pages 367-396, November.
    7. Garvey, Ryan & Wu, Fei, 2014. "Clustering of intraday order-sizes by uninformed versus informed traders," Journal of Banking & Finance, Elsevier, vol. 41(C), pages 222-235.
    8. Gavious, Arieh & Kedar-Levy, Haim, 2013. "The speed of stock price discovery," Journal of Financial Intermediation, Elsevier, vol. 22(2), pages 245-258.
    9. Garvey, Ryan & Wu, Fei, 2011. "Information, speed vs. cost trade-offs, and order routing decisions in U.S. equity markets," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 408-422, June.
    10. Marshall, Ben R. & Nguyen, Nhut H. & Visaltanachoti, Nuttawat, 2013. "ETF arbitrage: Intraday evidence," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3486-3498.
    11. Ghadhab, Imen & Hellara, Slaheddine, 2015. "The law of one price, arbitrage opportunities and price convergence: Evidence from cross-listed stocks," Journal of Multinational Financial Management, Elsevier, vol. 31(C), pages 126-145.
    12. Martin Scholtus & Dick van Dijk, 2012. "High-Frequency Technical Trading: The Importance of Speed," Tinbergen Institute Discussion Papers 12-018/4, Tinbergen Institute.

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