Publication: The role of information and trading volume on intradaily and weekly returns patterns in the Spanish stock market
dc.affiliation.dpto | UC3M. Departamento de EconomÃa de la Empresa | es |
dc.contributor.author | Camino Blasco, David | |
dc.contributor.editor | Universidad Carlos III de Madrid. Departamento de EconomÃa de la Empresa | |
dc.date.accessioned | 2010-03-01T08:07:49Z | |
dc.date.available | 2010-03-01T08:07:49Z | |
dc.date.issued | 1996-01 | |
dc.description.abstract | The aim of this work is to document new results about intradaily and weekly effects in the Spanish stock market, relating the returns in the stock index, during trading and non trading hours, to the arrival of information and daily trading volume. Weekly and intraday patterns are examined using the index Ibex-35 transaction data. Twenty-three months oftransaction records of the Ibex-35, at 15-minutes intervals, were examined in an attempt to better understand the dayof-the week effect and trading return patterns, to further characterize systematic weekly and intradaily price patterns. Several results were found: -There are cross-sectional differences in weekday patterns found in both trading and nontrading period returns. These patterns are pervasive over time and for different trading volumes. We found a positive relation between opening volume and unexpected overnight volatility, which is reflected in a higher standard deviation of returns, during the first to first and half hours of trading. -There are significant weekday differences in intraday trading returns in the first four hours of trading. On Monday (and Wednesday) returns are negative, while on the other weekdays, returns in this interval, are positive. | |
dc.format.mimetype | application/pdf | |
dc.identifier.uri | https://hdl.handle.net/10016/7065 | |
dc.language.iso | eng | |
dc.relation.ispartofseries | UC3M Working papers. Business Economics | |
dc.relation.ispartofseries | 96-10-01 | |
dc.rights | Atribución-NoComercial-SinDerivadas 3.0 España | |
dc.rights.accessRights | open access | |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/es/ | |
dc.subject.eciencia | Empresa | |
dc.subject.other | Monday effect | |
dc.subject.other | Intradily returns in stock indexes | |
dc.subject.other | Information and trading volume | |
dc.title | The role of information and trading volume on intradaily and weekly returns patterns in the Spanish stock market | |
dc.type | working paper | * |
dspace.entity.type | Publication |
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