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2018 | OriginalPaper | Buchkapitel

Intraday Trading Patterns on the Warsaw Stock Exchange

verfasst von : Paweł Miłobędzki, Sabina Nowak

Erschienen in: Contemporary Trends and Challenges in Finance

Verlag: Springer International Publishing

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Abstract

We estimate linear regressions with dummy variables for the rates of return, spreads and volumes of stocks included in the main Warsaw Stock Exchange index WIG 20 to reveal the intraday trading patterns after the Universal Trading Platform was introduced in April 2013. In doing so we use the data rounded to nearest second and aggregated into that of 1 h frequency. The analysis shows that the spreads and volumes exhibit either the day of the week or the hour of the day effect or both. The spreads resemble the reversed J and the volumes are U-shaped. The rates of return are mostly positive but eventually decline at the end of the trading day. Some of them exhibit the hour of the day but not the day of the week effect.

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Vorheriges Kapitel The Relationships Between Beta Coefficients in the Classical and Downside Framework: Evidence from Warsaw Stock Exchange

Nächstes Kapitel Testing Stability of Correlations Between Liquidity Proxies Derived from Intraday Data on the Warsaw Stock Exchange

We extract the relevant information on stocks included in the main WSE index WIG 20 from the BOS brokerage house data bank at http://bossa.pl/notowania/, accessed on 15 Jan 2017.

The earlier papers report on the WIG 20 intraday returns and the stealth trading (Będowska-Sójka 2010, 2014), the volatility smile (García-Machado and Rybczyński 2015) as well as on the intraday variability of stock market activity (Gubiec and Wiliński 2015) but for the antecedent trading system Warset.

See Jarque and Bera (1987) and Brown and Forsythe (1974). The latter test provides good robustness against many types of non-normal data while retaining good power.

The departures from normality are mainly due to the extremely fat tails and the right skew.

They are available from the authors upon a request.

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Titel: Intraday Trading Patterns on the Warsaw Stock Exchange
verfasst von: Paweł Miłobędzki
Sabina Nowak
Verlag: Springer International Publishing
Buch: Contemporary Trends and Challenges in Finance
Print ISBN: 978-3-319-76227-2

Electronic ISBN: 978-3-319-76228-9

Copyright-Jahr: 2018
DOI: https://doi.org/10.1007/978-3-319-76228-9_6