Periodic Information Asymmetry and Intraday Market Behaviour: An Empirical Analysis
44 Pages Posted: 8 Apr 2011
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Periodic Information Asymmetry and Intraday Market Behaviour: An Empirical Analysis
Periodic Information Asymmetry and Intraday Market Behaviour: An Empirical Analysis
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
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