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

Loading next page...
 
/lp/springer_journal/intraday-return-spillovers-and-its-variations-across-trading-sessions-dcvWK78XIx
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

Abstract

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.

Journal

Review of Quantitative Finance and AccountingSpringer Journals

Published: Jun 5, 2010

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

You’re reading a free preview. Subscribe to read the entire article.


DeepDyve is your
personal research library

It’s your single place to instantly
discover and read the research
that matters to you.

Enjoy affordable access to
over 18 million articles from more than
15,000 peer-reviewed journals.

All for just $49/month

Explore the DeepDyve Library

Search

Query the DeepDyve database, plus search all of PubMed and Google Scholar seamlessly

Organize

Save any article or search result from DeepDyve, PubMed, and Google Scholar... all in one place.

Access

Get unlimited, online access to over 18 million full-text articles from more than 15,000 scientific journals.

Your journals are on DeepDyve

Read from thousands of the leading scholarly journals from SpringerNature, Elsevier, Wiley-Blackwell, Oxford University Press and more.

All the latest content is available, no embargo periods.

See the journals in your area

DeepDyve

Freelancer

DeepDyve

Pro

Price

FREE

$49/month
$360/year

Save searches from
Google Scholar,
PubMed

Create lists to
organize your research

Export lists, citations

Read DeepDyve articles

Abstract access only

Unlimited access to over
18 million full-text articles

Print

20 pages / month

PDF Discount

20% off