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The Intraday Dynamics of Stock Returns and Trading Activity: Evidence from OMXS 30

Lunina, Veronika LU and Dzhumurat, Tetiana LU (2011) NEKM07 20111
Department of Economics
Abstract (Swedish)
In this study we analyze the intraday behaviour of stock returns and trading volume using the data on OMXS 30 stocks. We find that returns follow a reverse J-shaped pattern with the peak at the beginning of the trading day, while trading volume attains its maximum towards at the market closure. The highest volatility and kurtosis are observed at 09:30-10:00, and 11:30-12:00, when the macroeconomic news are released. Cross-sectional autoregressions reveal that both returns and volumes are significantly and positively affected by their own past realizations at daily frequencies. However, periodicity in volumes does not explain periodicity in returns. Return continuation at daily frequencies is confirmed by analyzing stocks’ performance in... (More)
In this study we analyze the intraday behaviour of stock returns and trading volume using the data on OMXS 30 stocks. We find that returns follow a reverse J-shaped pattern with the peak at the beginning of the trading day, while trading volume attains its maximum towards at the market closure. The highest volatility and kurtosis are observed at 09:30-10:00, and 11:30-12:00, when the macroeconomic news are released. Cross-sectional autoregressions reveal that both returns and volumes are significantly and positively affected by their own past realizations at daily frequencies. However, periodicity in volumes does not explain periodicity in returns. Return continuation at daily frequencies is confirmed by analyzing stocks’ performance in the long run. Our results are not affected by decreasing the sampling frequency from 15 to 30 minutes. (Less)
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author
Lunina, Veronika LU and Dzhumurat, Tetiana LU
supervisor
organization
course
NEKM07 20111
year
type
H2 - Master's Degree (Two Years)
subject
keywords
intraday periodicity, return responses, trading volume
language
English
id
1973850
date added to LUP
2011-06-17 12:23:00
date last changed
2011-06-17 12:23:00
@misc{1973850,
  abstract     = {In this study we analyze the intraday behaviour of stock returns and trading volume using the data on OMXS 30 stocks. We find that returns follow a reverse J-shaped pattern with the peak at the beginning of the trading day, while trading volume attains its maximum towards at the market closure. The highest volatility and kurtosis are observed at 09:30-10:00, and 11:30-12:00, when the macroeconomic news are released. Cross-sectional autoregressions reveal that both returns and volumes are significantly and positively affected by their own past realizations at daily frequencies. However, periodicity in volumes does not explain periodicity in returns. Return continuation at daily frequencies is confirmed by analyzing stocks’ performance in the long run. Our results are not affected by decreasing the sampling frequency from 15 to 30 minutes.},
  author       = {Lunina, Veronika and Dzhumurat, Tetiana},
  keyword      = {intraday periodicity,return responses,trading volume},
  language     = {eng},
  note         = {Student Paper},
  title        = {The Intraday Dynamics of Stock Returns and Trading Activity: Evidence from OMXS 30},
  year         = {2011},
}