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. Review of Quantitative Finance and Accounting Springer Journals

Intraday return spillovers and its variations across trading sessions

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Springer US
Copyright © 2010 by Springer Science+Business Media, LLC
Finance; Corporate Finance; Accounting/Auditing; Econometrics; Operation Research/Decision Theory
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