Intra-day Patterns in the Returns, Bidask Spereads, and Trading Volume of Stocks Traded on the New York Stock Exchange
Download full text from publisher
References listed on IDEAS
- Keim, Donald B & Stambaugh, Robert F, 1984. " A Further Investigation of the Weekend Effect in Stock Returns," Journal of Finance, American Finance Association, vol. 39(3), pages 819-835, July.
- Foster, F Douglas & Viswanathan, S, 1993. " Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models," Journal of Finance, American Finance Association, vol. 48(1), pages 187-211, March.
- Bertoneche, Marc L., 1979. "Spectral analysis of stock market prices," Journal of Banking & Finance, Elsevier, vol. 3(2), pages 201-208, July.
- Upson, Roger B., 1972. "Random Walk and Forward Exchange Rates: A Spectral Analysis," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 7(04), pages 1897-1905, September.
- Rogalski, Richard J, 1984. " A Further Investigation of the Weekend Effect in Stock Returns," Journal of Finance, American Finance Association, vol. 39(3), pages 835-837, July.
- Hilliard, Jimmy E, 1979. "The Relationship between Equity Indices on World Exchanges," Journal of Finance, American Finance Association, vol. 34(1), pages 103-114, March.
- Yadav, Pradeep K. & Pope, Peter F., 1992. "Intraweek and intraday seasonalities in stock market risk premia: Cash and futures," Journal of Banking & Finance, Elsevier, vol. 16(1), pages 233-270, February.
- French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, vol. 8(1), pages 55-69, March.
- Rogalski, Richard J, 1984. " New Findings Regarding Day-of-the-Week Returns over Trading and Non-trading Periods: A Note," Journal of Finance, American Finance Association, vol. 39(5), pages 1603-1614, December.
- Durlauf, Steven N., 1991.
"Spectral based testing of the martingale hypothesis,"
Journal of Econometrics,
Elsevier, pages 355-376.
- Steven N. Durlauf, 1992. "Spectral Based Testing of the Martingale Hypothesis," NBER Technical Working Papers 0090, National Bureau of Economic Research, Inc.
- Fong, Wai Mun & Ouliaris, Sam, 1995. "Spectral Tests of the Martingale Hypothesis for Exchange Rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(3), pages 255-271, July-Sept.
- Chan, K C & Christie, William G & Schultz, Paul H, 1995. "Market Structure and the Intraday Pattern of Bid-Ask Spreads for NASDAQ Securities," The Journal of Business, University of Chicago Press, vol. 68(1), pages 35-60, January.
- Jain, Prem C. & Joh, Gun-Ho, 1988. "The Dependence between Hourly Prices and Trading Volume," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(03), pages 269-283, September.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Andreas Park, 2008. "Bid-Ask Spreads and Volume:The Role of Trade Timing," Working Papers tecipa-309, University of Toronto, Department of Economics.
- F. DePenya & L. Gil-Alana, 2006.
"Testing of nonstationary cycles in financial time series data,"
Review of Quantitative Finance and Accounting,
Springer, vol. 27(1), pages 47-65, August.
- Javier De PeÃ±a & Luis A. Gil-Alana, 2003. "Testing of Nonstationary Cycles in Financial Time Series Data," Faculty Working Papers 15/03, School of Economics and Business Administration, University of Navarra.
- Katya Malinova & Andreas Park, 2009. "Intraday Trading Patterns: The Role of Timing," Working Papers tecipa-365, University of Toronto, Department of Economics.
More about this item
Keywordsspectral analysis; peridocities; seasonality; intraday paterns; bid-ask spread; trading volume;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- F31 - International Economics - - International Finance - - - Foreign Exchange
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:rdg:icmadp:icma-dp2003-14. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Marie Pearson). General contact details of provider: http://edirc.repec.org/data/bsrdguk.html .