Intraday Behavior Research Articles

The Intraday Behavior of Bid-Ask Spreads, Returns, and Volatility for FTSE-100 Stock Index Options

The microstructure of stock markets and futures markets has attracted considerable recent attention, but the evidence relating to options markets is sparse, especially for the U.K. This article addresses this void in the literature by presenting evidence on the intraday behavior of bid-ask spreads, returns, volatility, and volume. Both clear differences and similarities are found with the previous results for other markets. Spreads are found to be wide near the market open and narrow near the close. Although this contrasts with some previous evidence in U.S. stock and futures markets of a U-shaped pattern in intraday spreads, it is consistent with other recent research, and the differences may be explained by differing market structures. No clear pattern emerges in options returns, but there is a U-shape across the day in returns volatility and in volume. The results help to differentiate between the competing theories of the intraday behavior of these key variables

The Intraday Behavior of European Bond Futures

The Intraday Behavior of European Bond Futures

The Intraday Behavior of Bid-Ask Spreads for NYSE Stocks and CBOE Options

We study the intraday behavior of bid-ask spreads for actively traded CBOE options and for their NYSE-traded underlying stocks. We confirm previous findings that stocks have a U-shaped spread pattern; however, the options display a very different intraday pattern—one that declines sharply after the open, and then levels off. Our results suggest that both the degree of competition in market making and the extent of informed trading are important for understanding the intraday behavior of spreads.

An examination of the intraday behavior of the yen/dollar exchange rate: The relationship between trading activity and returns volatility

This paper provides additional empirical evidence of the relationship between the volatility of returns and trading activity in foreign exchange markets. Five-minute yen/dollar returns exhibit significant skewness, kurtosis, negative first-order autocorrelation and heteroskedasticity. Market activity (as measured by the intensity of quote arrivals) has a positive and statistically significant effect on conditional returns volatility. Such evidence is consistent with predictions of mixture of distrubutions models.

Volatility, Efficiency, and Trading: Further Evidence

AbstractAlong the lines of Amihud and Mendelson (1987a, 1989,1991), this study investigates the unique trading mechanism of the Korea Stock Exchange (KSE) and its intraday behavior of stock price volatility. The evidence from this study indicates that the introduction of an additional clearing procedure at the afternoon closing makes price discovery process more efficient than before from the viewpoint of stock price volatility. Hence, such trading mechanisms can be applied to emerging stock markets as well as developed stock markets. In addition, based on intraday analysis, stock price volatilities appear to occur mainly during the trading period, not during the lunch break or overnight period. Consequently, the results confirm the previous studies that information arrival and trading activities are the main sources of volatility.

A Characterization of the Daily and Intraday Behavior of Returns on Options

A Characterization of the Daily and Intraday Behavior of Returns on Options

A Characterization of the Daily and Intraday Behavior of Returns on Options

ABSTRACTThe daily and intraday behavior of returns on Chicago Board Options Exchange options is examined. Option returns contain systematic patterns even after adjusting for patterns in the means and variances of the underlying assets. This is consistent with the hypothesis that informed trading in options can make the order flow in the options market informative about the value of the underlying asset, making options nonredundant. The intraday patterns in adjusted option return variances are further consistent with a model of strategic trading by informed and discretionary liquidity traders.

The Probability of a Trade at the Ask: An Examination of Interday and Intraday Behavior

This paper tests the null hypothesis of no difference in the probability of a trade occurring at the ask using a new database containing intraday bid-ask quotes and transaction prices on both U.S. and Canadian Exchanges. We use LOGIT analysis to test the hypothesis across days of the week, price-stratified portfolios, and times of the day. We find system? atic patterns in the probability of a trade at the ask resembling previously documented returns anomalies and conclude that the findings of previous weekend and intraday returns studies may be overstated. The significance of this conclusion substantially increases as one moves from the use of interday to intraday data.

The intraday behavior of commodity futures prices

The intraday behavior of commodity futures prices

Note on the Validity of the Random Walk for European Stock Prices

The Journal of FinanceVolume 28, Issue 5 p. 1151-1159 Article NOTE ON THE VALIDITY OF THE RANDOM WALK FOR EUROPEAN STOCK PRICES Bruno H. Solnik, Bruno H. Solnik Assistant Professor of Finance, Graduate School of Business, Stanford University. I am greatly indebted to Franco Modigliani, Jerry Pogue, Stewart Myers, Myron Scholes and William Bradford.Search for more papers by this author Bruno H. Solnik, Bruno H. Solnik Assistant Professor of Finance, Graduate School of Business, Stanford University. I am greatly indebted to Franco Modigliani, Jerry Pogue, Stewart Myers, Myron Scholes and William Bradford.Search for more papers by this author First published: December 1973 https://doi.org/10.1111/j.1540-6261.1973.tb01447.xCitations: 43 Read the full textAboutRelatedInformationPDFPDF ToolsRequest permissionExport citationAdd to favoritesTrack citation ShareShare Give accessShare full text accessClose modalShare full-text accessPlease review our Terms and Conditions of Use and check box below to share full-text version of article.I have read and accept the Wiley Online Library Terms and Conditions of UseShareable LinkUse the link below to share a full-text version of this article with your friends and colleagues. Learn more.Copy URL Citing Literature Volume28, Issue5December 1973Pages 1151-1159 RelatedInformation RecommendedRandom Walk TheorySecrets of the Trading Pros: Techniques and Tips That Pros Use to Beat the Market, [1]Intraday Behavior of Stock Prices and Trades around Insider TradingA. Can Inci, Biao Lu, H. Nejat Seyhun, Financial ManagementAfter‐Hours Stock Prices and Post‐Crash HangoversDAVID NEUMARK, P. A. TINSLEY, SUZANNE TOSINI, The Journal of FinanceOn Testing the Random‐Walk Hypothesis: A Model‐Comparison ApproachAli F. Darrat, Maosen Zhong, Financial ReviewVARIANCE RATIO TESTS OF THE RANDOM WALK HYPOTHESIS FOR SOUTH AFRICAN STOCK FUTURESGraham Smith, Gillian Rogers, South African Journal of Economics