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Lee, Fok And Liu - Explaining Intraday Pattern Of Trading Volume From The Order Flow Data
32 pages
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Explaining Intraday Pattern of
Trading Volume from the Order
Flow Data
Yi-Tsung Lee, Robert C.
W.
Fok and Yu-Jane Liu*
1.
INTRODUCTION
Extensive studies have documented a pattern of usually large
trading volume at the market open, and...
[More]
Explaining Intraday Pattern of
Trading Volume from the Order
Flow Data
Yi-Tsung Lee, Robert C.
W.
Fok and Yu-Jane Liu*
1.
INTRODUCTION
Extensive studies have documented a pattern of usually large
trading volume at the market open, and in particular at the close
in the New York Stock Exchange and Toronto Stock Exchange.
For example, Wood, McInish and Ord (1985), McInish and
Wood (1990a), McInish and Wood (1992) and Lockwood and
Linn (1990) found U-shaped patterns for intraday returns and
trading volume.
Similar patterns have also been explored in some
Asian stock markets.
For instance, Chow, Lee, Liu and Liu
(1994), Ho and Cheung (1991), as well as Ho, Cheung and
Cheung (1993) found extremely large trading volume at the
close in the Taiwan and Hong Kong stock markets.
Hence, large
trading volume around market open and close is a global
phenomenon.
Many researchers dedicate their efforts to explain why such
patterns exist.
McInish and Wood (1990b), Harris (1989) and
Porter (1992)
[Less]
Tags
blackwell,
close,
exchange,
finance,
found,
intraday,
journal,
large,
market,
open,
pattern,
patterns,
publishers,
stock,
taiwan,
trading,
volume
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