Are Intraday Volume and Volatility U-Shaped after Accounting for Public Information?

Posted: 8 Mar 2010

See all articles by James Eaves

James Eaves

Université Laval

Jeffrey C. Williams

University of California, Davis

Multiple version iconThere are 2 versions of this paper

Date Written: January 2010

Abstract

No matter how pronounced intraday patterns may appear, it is difficult to account for cross-correlations among related assets when those assets trade continuously and simultaneously. Futures contracts are auctioned periodically and sequentially on the Tokyo Grain Exchange (TGE). Even though intraday TGE volume is U-shaped, intraday volatility is closer to L-shaped. After accounting for the public information in immediately preceding auctions for the same commodity, for earlier trading in other commodities, and for trading on overseas markets open overnight in Tokyo, the intraday patterns are effectively flat. Thus, the timing of privately informed traders cannot be the source of intraday patterns.

Keywords: auctions, cross-correlation, futures markets, intraday trading, price volatility, D44, D82, G13, Q13

Suggested Citation

Eaves, James and Williams, Jeffrey C., Are Intraday Volume and Volatility U-Shaped after Accounting for Public Information? (January 2010). American Journal of Agricultural Economics, Vol. 92, Issue 1, pp. 212-227, 2010, Available at SSRN: https://ssrn.com/abstract=1565236 or http://dx.doi.org/aap007

James Eaves (Contact Author)

Université Laval ( email )

Jeffrey C. Williams

University of California, Davis ( email )

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