Intraday return spillovers and its variations across trading sessions

Intraday return spillovers and its variations across trading sessions The main purpose of this paper is to study the intraday return spillovers and their real time variations amongst selected technology stocks. Based upon randomly selected technology stocks in terms of multilateral analysis, we find the following evidence. Firstly, we find that positive spillover effects are discernible amongst medium- and large-sized stocks, with the effects being directionally asymmetric between different size groups. Secondly, we find that for most stocks, the full effects of the firm-specific shocks over other stocks are realized within approximately 30 min to 2 h. Finally, we show that the spillover effects tend to follow an M-shaped intraday pattern. Our results suggest that during the opening and closing sessions, trades motivated by information spilled over from other firms are relatively subordinated, with the trading at these times being largely dominated by those based upon common market factor or firm-specific fundamental information. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Review of Quantitative Finance and Accounting Springer Journals

Intraday return spillovers and its variations across trading sessions

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Publisher
Springer US
Copyright
Copyright © 2010 by Springer Science+Business Media, LLC
Subject
Finance; Corporate Finance; Accounting/Auditing; Econometrics; Operation Research/Decision Theory
ISSN
0924-865X
eISSN
1573-7179
D.O.I.
10.1007/s11156-010-0181-4
Publisher site
See Article on Publisher Site

References

  • International stock market linkages: evidence from the pre- and post-October 1987 period
    Arshanapalli, B; Doukas, J
  • Market structure and the intraday pattern of bid-ask spreads for NASDAQ securities
    Chan, KC; Christie, WG; Schultz, PH
  • Limit orders and the bid-ask spread
    Chung, KH; Ness, BF; Ness, RA
  • Intraday trading volume and the return volatility of DJIA stocks: a note
    Darrat, A; Rahman, S; Zhong, M
  • Where does the meteor shower come from?
    Ito, T; Engle, R; Lin, W
  • Overreaction, delayed reaction and contrarian profits
    Jegadeesh, N; Titman, S
  • A multivariate GARCH model of international transmissions of stock returns and volatility: the case of the United States and Canada
    Karolyi, GA
  • Transmission of volatility between stock markets
    King, M; Wadhwani, S
  • Volatility and links between national stock markets
    King, M; Sentana, E; Wadhwani, S

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