A Transactions Data Analysis of Intraday Betas

Posted: 15 Jun 1998

See all articles by Larry J. Lockwood

Larry J. Lockwood

Texas Christian University

Thomas H. McInish

University of Memphis - Fogelman College of Business and Economics

Suhkyong Kim

SeoKyeong University

Abstract

Using a sample of 27 stocks from the Dow Jones Industrial Average for the years 1986-1992, we examine the equality of beta for individual firms during the trading day. Both alphas and betas are found to differ through the trading day. Evidence suggests these changes are systematic for individual stocks. Using the midday beta as the base, the number of rejections of beta equality follow a U-shaped pattern through the trading day, indicating the differing distributions (U-shaped patterns) for intraday returns are reflected in similar changes in beta. These results have implications for further developing and testing market microstructure models.

JEL Classification: G10, G12

Suggested Citation

Lockwood, Larry J. and McInish, Thomas H. and Kim, Suhkyong, A Transactions Data Analysis of Intraday Betas. Available at SSRN: https://ssrn.com/abstract=95509

Larry J. Lockwood (Contact Author)

Texas Christian University ( email )

Fort Worth, TX 76129
United States
817-921-7420 (Phone)
817-921-7227 (Fax)

Thomas H. McInish

University of Memphis - Fogelman College of Business and Economics ( email )

Memphis, TN 38152
United States
901-678-4662 (Phone)
901-678-3006 (Fax)

Suhkyong Kim

SeoKyeong University

Seoul
Korea

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