Abstract

https://ssrn.com/abstract=2844936
 


 



Decomposing the Dynamics of Intra-Day Trading Activity and Trading Outcomes


Yashar Heydari Barardehi


Ohio University - Department of Economics

Dan Bernhardt


University of Illinois at Urbana-Champaign - Department of Economics

February 6, 2017


Abstract:     
Separating trading activity from trading volume, we find that although calendar-time return volatility follows a U-shaped pattern over the trading day, the return volatility associated with trading stock-specific fixed-dollar positions falls: higher calendar-time volatilities near close solely reflect greater trading volumes. Controlling for time-of-day, trade-time return volatility and price impacts are inversely related to trading activity. Trading activity, not trading location or order type, underlies these patterns. Unexpected trading activity drives patterns early in the day, while expected activity matters later. Our findings support predictions of models featuring strategic inventory-rebalancing traders, and hint at the importance of imperfectly-competitive liquidity provision.

Number of Pages in PDF File: 55

Keywords: Trading Activity, Volatilty, Trade-Time, Time-of-Day Pattern, Liquidity

JEL Classification: G10, G14, G20


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Date posted: September 29, 2016 ; Last revised: February 7, 2017

Suggested Citation

Barardehi, Yashar Heydari and Bernhardt, Dan, Decomposing the Dynamics of Intra-Day Trading Activity and Trading Outcomes (February 6, 2017). Available at SSRN: https://ssrn.com/abstract=2844936

Contact Information

Yashar Heydari Barardehi (Contact Author)
Ohio University - Department of Economics ( email )
319 Bentley Annex
Athens, OH 45701-2979
United States
HOME PAGE: http://sites.google.com/site/barardehi
Dan Bernhardt
University of Illinois at Urbana-Champaign - Department of Economics ( email )
1206 South Sixth Street
Champaign, IL 61820
United States
217-244-5708 (Phone)
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