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Intranight Trading Behaviour

出版	SSRN, 2000
URL	http://books.google.com.hk/books?id=BzXAzgEACAAJ&hl=&source=gbs_api

註釋This paper examines 'intranight' patterns in quoted bid-ask spreads, price volatility and trading volume. Using data for the overnight market of the Sydney Futures Exchange, an elevation in both price volatility and trading volume at the open and close of overnight trading sessions is documented, consistent with prior research examining daytime markets. In contrast to existing theory and prior research, quoted bid-ask spreads are found to widen throughout night-time trading sessions. Bid-ask spreads, price volatility and trading volume also appear to increase at approximately 00:30. Apart from the behaviour of quoted bid-ask spreads, a number of tests are carried out documenting that these patterns are consistent with the effects of contagion from overseas markets, overseas information releases, and strategic trading by informed and uninformed traders.