Lee, Fok And Liu – Explaining Intraday Pattern Of Trading Volume From The Order Flow Data

Lee, Fok And Liu - Explaining Intraday Pattern Of Trading Volume From The Order Flow Data

Trading Volume

Extensive studies have documented a pattern of usually large trading volume at the market open, and in particular at the close in the New York Stock Exchange and Toronto Stock Exchange.

For example, Wood, McInish and Ord (1985), McInish and Wood (1990a), McInish and Wood (1992) and Lockwood and Linn (1990) found U-shaped patterns for intraday returns and \trading volume.

Similar patterns have also been explored in some Asian stock markets. For instance, Chow, Lee, Liu and Liu (1994), Ho and Cheung (1991), as well as Ho, Cheung and Cheung (1993) found extremely large \trading volume at the close in the Taiwan and Hong Kong stock markets. Hence, large \trading volume around market open and close is a global phenomenon.

Many researchers dedicate their efforts to explain why such patterns exist. McInish and Wood (1990b), Harris (1989) and Porter (1992) suggested that day-end effects might account for the pattern. Since different markets show similar intraday patterns of \trading volume, trading mechanisms may not be...

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