The intraday effect and the extension of trading hours for Taiwanese securities

Fan, Yu Ju; Lai, Hung Neng

doi:10.1016/j.irfa.2006.02.005

Cited by 23 publications

(19 citation statements)

References 26 publications

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“…Prior studies (Chou & Lee, ; Fan & Lai, ) document that, similar to the findings of Bloomfield et al (), the morning session of the Taiwan markets has more information than the afternoon session . We therefore analyze the trading of individual day traders in the morning and afternoon sessions to explore whether the contrarian trading strategy adopted by individual day traders has a significant impact on market efficiency.…”

Section: Resultssupporting

confidence: 62%

The Impacts of Individual Day Trading Strategies on Market Liquidity and Volatility: Evidence from the Taiwan Index Futures Market

Chou

Wang

2014

Journal of Futures Markets

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We investigate the investment strategies of individual day traders in the Taiwan Index Futures market, along with their impact on market liquidity and volatility. Our results indicate a tendency among most individual day traders to behave as irrational contrarian traders. We also present consistent evidence to show that most individual day traders provide market liquidity by reducing the bid‐ask spread, temporary price volatility, and the temporal price impacts. Our results, which are consistent with the experimental results of Bloomfield, O'Hara, and Saar (2009) [Review of Financial Studies, 22:2275–2302], provide no support for the general criticism that day trading destabilizes the market while also exacerbating market volatility. © 2014 Wiley Periodicals, Inc. Jrl Fut Mark 35:399–425, 2015

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Section: Resultssupporting

confidence: 62%

The Impacts of Individual Day Trading Strategies on Market Liquidity and Volatility: Evidence from the Taiwan Index Futures Market

Chou

Wang

2014

Journal of Futures Markets

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“…Further, behavior on stock markets has been documented to follow periods of lower and higher activity during a trading day in the form of a U‐shape pattern (McMillan and Speight, 2002; Fan and Lai, 2006). Such a pattern can be explained by the arrival and incorporation of news during the beginning of the trading session or by intraday trading activity as evidenced by Frijns and Margaritis (2008), implying the opening and closing of positions at the beginning and at the end of the trading session.…”

Section: The Data and Methodologymentioning

confidence: 99%

Foreign News and Spillovers in Emerging European Stock Markets

Hanousek

Kočenda

2011

Rev International Economics

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We analyze foreign news and spillovers in the emerging EU stock markets (the Czech Republic, Hungary, and Poland). We employ high‐frequency five‐minute intraday data on stock market index returns and four classes of EU and US macroeconomic announcements during 2004–07. We account for the difference of each announcement from its market expectation and we jointly model the volatility of the returns accounting for intraday movements and day‐of‐the‐week effects. Our findings show that intraday interactions on the new EU markets are strongly determined by mature stock markets as well as the macroeconomic news originating thereby. We show that strong contemporaneous links across markets are present even after controlling for macroeconomic announcements. Finally, in terms of specific announcements, we are able to show the exact sources of macro news spillovers from the developed foreign markets to the three new EU markets under research.

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“…12 This approach avoids mixing periods of varying volatility during the trading day and reflects the U-shape pattern documented for volatility in various markets (McMillan and Speight, 2002;Fan and Lai, 2006), including the three emerging markets under research (Égert and Kočenda, 2007). 13 Based on the Akaike information criterion and the Schwarz-Bayesian information criterion and the significance of the coefficients, we select a specific version of the baseline model that corresponds best to the data on each stock index.…”

Section: Estimation Methodologymentioning

confidence: 99%

The reaction of asset prices to macroeconomic announcements in new EU markets: Evidence from intraday data

Hanousek

Kočenda

Kutan

2009

Journal of Financial Stability

104

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We estimate the impact of macroeconomic news on composite stock returns in three emerging European Union financial markets (the Budapest BUX, Prague PX-50, and Warsaw WIG-20), using intraday data and macroeconomic announcements. Our contribution is twofold. We employ a larger set of macroeconomic data releases than used in previous studies and also use intraday data, an excess impact approach, and foreign news to provide more reliable inferences. Composite stock returns are computed based on 5-min intervals (ticks) and macroeconomic news are measured based on the deviations of the actual announcement values from their expectations. Overall, we find that all three new EU stock markets are subject to significant spillovers directly via the composite index returns from the EU, the U.S. and neighboring markets; Budapest exhibits the strongest spillover effect, followed by Warsaw and Prague. The Czech and Hungarian markets are also subject to spillovers indirectly through the transmission of macroeconomic news. The impact of EU-wide announcements is evidenced more in the case of Hungary, while the Czech market is more impacted by U.S. news. The Polish market is marginally affected by EU news. In addition, after decomposing pooled announcements, we show that the impact of multiple announcements is stronger than that of single news. Our results suggest that the impact of foreign macroeconomic announcements goes beyond the impact of * Corresponding author at

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The intraday effect and the extension of trading hours for Taiwanese securities

Cited by 23 publications

References 26 publications

The Impacts of Individual Day Trading Strategies on Market Liquidity and Volatility: Evidence from the Taiwan Index Futures Market

The Impacts of Individual Day Trading Strategies on Market Liquidity and Volatility: Evidence from the Taiwan Index Futures Market

Foreign News and Spillovers in Emerging European Stock Markets

The reaction of asset prices to macroeconomic announcements in new EU markets: Evidence from intraday data

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