Revisiting the ∪-shaped patterns in volatility and price impacts: Novel results using trade-time estimates

Yashar H. Barardehi and Dan Bernhardt

Journal of Financial Markets, 2025, vol. 74, issue C

Abstract: When measured using trade-time aggregation, intraday patterns in trading activity remain ∪-shaped, but estimates of volatility and Kyle’s lambda fall sharply from open to close. ∪-shaped patterns in volatility and Kyle’s lambda found using commonly-used calendar-time aggregation reflect over-aggregation biases when trading activity is high as near the open and close. Indicative of imperfectly-competitive liquidity provision, trade-time aggregation also reveals that in active markets, expected trade imbalances are positively priced and unexpected trade imbalances are more strongly priced when they share the sign of expected imbalances, while in less active markets expected trade imbalances are negatively priced.

Keywords: Intraday trading; Trade time; Calendar time; Volatility; Kyle’s lambda; Liquidity provision (search for similar items in EconPapers)
JEL-codes: G10 G14 G20 (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1386418125000114
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finmar:v:74:y:2025:i:c:s1386418125000114

DOI: 10.1016/j.finmar.2025.100971

Access Statistics for this article

Journal of Financial Markets is currently edited by B. Lehmann, D. Seppi and A. Subrahmanyam

More articles in Journal of Financial Markets from Elsevier
Bibliographic data for series maintained by Catherine Liu ().