Abstract
This paper studies the effect that the firm's business geographical distribution has on stock return intraday volatility. We use data on the Spanish Stock Exchange, where most of its firms' international activity is concentrated in South America. We find evidence that Spanish firms with a higher proportion of business in the Americas have a higher proportion of their intraday volatility concentrated in two periods: around the SSE opening, and during the SSE trading interval overlapped with the American business day. We interpret this evidence as the business geographical distribution affecting the intraday pattern of relevant information flow for stock pricing.
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