Periodic Information Asymmetry and Intraday Market Behaviour: An Empirical Analysis

Scalia, Antonio

doi:10.2139/ssrn.1804028

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Periodic Information Asymmetry and Intraday Market Behaviour: An Empirical Analysis

44 Pages Posted: 8 Apr 2011

See all articles by Antonio Scalia

Antonio Scalia

Bank of Italy

There are 2 versions of this paper

Date Written: June 5, 1997

Abstract

The model of Foster-Viswanathan (1990, FV) predicts that information heterogeneity among market participants generates patterns in volume, trading costs and volatility. In the Italian Treasury bond market, periodic information asymmetry is related to the arrival of block orders from international investors, which cluster soon after the opening of the market and, respectively, of the US market. I find that volume is lower and trading costs are higher after the two openings, consistent with FV. I find only weak evidence that volatility behaves as implied by the model.

Keywords: Information asymmetry, Market microstructure, Intraday regularities, US macroeconomic news

JEL Classification: D82, G14

Suggested Citation: Suggested Citation

Scalia, Antonio, Periodic Information Asymmetry and Intraday Market Behaviour: An Empirical Analysis (June 5, 1997). Available at SSRN: https://ssrn.com/abstract=1804028 or http://dx.doi.org/10.2139/ssrn.1804028