Intradaily Patterns in the Korean Index Futures Market

Copeland, Laurence; Jones, Sally Anne

doi:10.1111/1467-8381.00146

Cited by 13 publications

(10 citation statements)

References 27 publications

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“…These results imply that the collected information (public or private) will be immediately and implicitly incorporated into stock prices since the market opening. Our results coincided with the results of Wood et al (1985), Harris (1986), Jain and Joh (1988) on the NYSE, Copeland and Jones (2002) on the Korean market. But it must be mentioned that the attribution of high levels of return and return volatility at the opening and closing quotation in the Tunisian stock market, is only due to the information flow, is insufficient.…”

Section: The Graphical Analysis Of Intraday Behavior Of the Trading Asupporting

confidence: 90%

The Intraday Pattern of Trading Activity, Return Volatility and Liquidity: Evidence from the Emerging Tunisian Stock Exchange

Tissaoui¹

2012

IJEF

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The purpose of this paper is to investigate the intraday pattern of trading activity, liquidity and return volatility in the emerging Tunisian Stock Market (TSE) which is an order-driven market using intraday data covering the period October 2008 to June 2009. To achieve this objective, we have applied two methods: the temporal analysis that consists to estimate a dichotomy model for each variable by following the methodological approach of Vo (2007) and the second method is to apply the spectrum analysis by using the Fourier Transform fast (FFT). The results have shown that all identified variables are characterized by notable seasonality justified the rejection of the hypothesis of constancy (H 0 ). Both methods have shown the existence a seasonal pattern in U. The reason considered to justify this intraday behavior is the crucial role played by the problem of adverse selection especially between the two dimensions of liquidity: the spread and depth at the best limit. It should also be noted the effect of inventory management on the optimal allocation of the portfolio.

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Section: The Graphical Analysis Of Intraday Behavior Of the Trading Asupporting

confidence: 90%

The Intraday Pattern of Trading Activity, Return Volatility and Liquidity: Evidence from the Emerging Tunisian Stock Exchange

Tissaoui¹

2012

IJEF

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“…We control for period-specific, day-of-the-week, and interaction effects in the regression specifications. However, given the observed intraday patterns (U-shaped curve), we standardize 6 the returns as indicated by Jain and Joh (1988), Copeland and Jones (2002), and Agarwalla et al (2015). We define three regressions as follows:…”

Section: Returns and Volumes In A Contemporaneous Setupmentioning

confidence: 99%

Contemporaneous and Causal Relationship between Returns and Volumes: Evidence from Nifty Futures

Sampath

Garg

2018

Int Rev Finance

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Motivated by the mixture of distribution hypothesis (MDH) and sequential arrival of information hypothesis (SAIH), we investigate the relationship between intraday returns and volumes using derivatives data from the emerging Indian market. Using robust statistical estimation, we document the evidence of both MDH and SAIH in one of the most traded financial markets in India (and the world). We document the presence of strong positive association between returns and volumes. We further report the evidence of strong causality from intraday returns to volumes than vice versa.

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“…The U-shaped pattern was, also, identified by the works of Hong and Wang (2000), Cheung et al (1994), Cheung (1995), Bildik (2001), Copeland andJones (2002) -Korea, Wood, McInish andOrd (1985), Jain and Joh (1988), Foster and Viswanathan (1993), Kleidon and Werner (1996), Abhyankar et al (1994), Hong and Wang (2000) and Ozenbas et al(2002).…”

Section: Past Literaturementioning

confidence: 78%

Analysis of Intra-Day Volatility under Economic Crisis Conditions

Glezakos¹,

Vafiadis²,

Mylonakis³

2011

IJEF

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The purpose of this paper is to examine intra-day volatility of the Athens (GI), Frankfurt (DAX) and New York (DJ) Stock Markets under conditions of economic crisis. After utilizing 5 minutes intervals of the periods SeptemberDecember of 2008 and 2009, a U-shaped intra-day volatility pattern was observed for DJ and an L-shaped one for DAX and GI. The results indicate a sharp spike in the first 30 minutes and some weaker spikes for the rest of the trading. Moreover, the influence of the New York Stock market to the European markets was dominant. At the same time, GI and DAX exhibited a significantly positive correlation, particularly in last quarter of 2008. Finally, volatility of returns was unusually high in 2008, obviously due to the prevailing global financial crisis.

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Intradaily Patterns in the Korean Index Futures Market

Cited by 13 publications

References 27 publications

The Intraday Pattern of Trading Activity, Return Volatility and Liquidity: Evidence from the Emerging Tunisian Stock Exchange

The Intraday Pattern of Trading Activity, Return Volatility and Liquidity: Evidence from the Emerging Tunisian Stock Exchange

Contemporaneous and Causal Relationship between Returns and Volumes: Evidence from Nifty Futures

Analysis of Intra-Day Volatility under Economic Crisis Conditions

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