Intranight Trading Behaviour

37 Pages Posted: 5 Nov 2000

See all articles by Alex Frino

Alex Frino

The University of Sydney - Discipline of Finance; Financial Research Network (FIRN)

Amelia M. Hill

The University of Sydney - Discipline of Finance

Date Written: September 9, 2000

Abstract

This paper examines 'intranight' patterns in quoted bid-ask spreads, price volatility and trading volume. Using data for the overnight market of the Sydney Futures Exchange, an elevation in both price volatility and trading volume at the open and close of overnight trading sessions is documented, consistent with prior research examining daytime markets. In contrast to existing theory and prior research, quoted bid-ask spreads are found to widen throughout night-time trading sessions. Bid-ask spreads, price volatility and trading volume also appear to increase at approximately 00:30. Apart from the behaviour of quoted bid-ask spreads, a number of tests are carried out documenting that these patterns are consistent with the effects of contagion from overseas markets, overseas information releases, and strategic trading by informed and uninformed traders.

Keywords: Intranight, screen trading

JEL Classification: G10

Suggested Citation

Frino, Alex and Hill, Amelia M., Intranight Trading Behaviour (September 9, 2000). Available at SSRN: https://ssrn.com/abstract=245704 or http://dx.doi.org/10.2139/ssrn.245704

Alex Frino

The University of Sydney - Discipline of Finance ( email )

Futures Research Centre
P.O. Box H58
Sydney NSW
Australia
+61 2 9299 1809 (Phone)
+61 2 9299 1830 (Fax)

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

Amelia M. Hill (Contact Author)

The University of Sydney - Discipline of Finance ( email )

P.O. Box H58
Sydney, NSW 2006
Australia
+61 2 9299 1807 (Phone)
+61 2 9299 1830 (Fax)

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