Intraweek and intraday trade patterns and dynamics

Petko S. Kalev and Linh T. Pham

Pacific-Basin Finance Journal, 2009, vol. 17, issue 5, 547-564

Abstract: This paper investigates informed traders' order-splitting strategies on different days of the week and times of the day for a sample of stocks traded on the Australian Stock Exchange. Based on cumulative price changes, we document that informed traders tend to use medium size trades. We find that informed investors concentrate their strategic trading on Mondays and particularly during the first trading hour. In addition, informed investors also use large size trades around market opening and closing, as well as on days other than Mondays and Fridays. These results are more pronounced for the large market capitalization stocks.

Keywords: Discretionary; liquidity; traders; Informed; traders; Time-of-the-day; effect; Day-of-the-week; effect; Stealth; trading; Strategic; order-splitting (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:17:y:2009:i:5:p:547-564

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