Abstract
This paper examines the behavior of intra-day periodicity by dividing the trading day into 39 and 10 min trading intervals for both the Dow Jones and NASDAQ markets. Using a high frequency data of 10 min stock index over the period of August 1, 1997 to June 19, 2007, which included 2,485 trading days with 96,915 intraday observations, we found that the current return today has a positive and explanatory impact on the return at the same time tomorrow. Results of this study are in line with the reports by Heston et al. (2010) who use diversified individual common stocks rather than stock indexes, implying the negative autocorrelation induced by bid-ask bounce and lack of resiliency in both DJIA and NASDAQ markets as well. Although, there is a significant positive relation between a stock’s return over an interval and its subsequent returns at daily frequencies, this effect is found significant for only one day for DJIA, whereas up to around five trading days for NASDAQ. No significant size effect differences were found between both market traders and neither was intraday patterns changed after the event of 911 shocks. Key words: Microstructure, trading strategies, institutional investors, intraday behavior.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
