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Periodic Information Asymmetry and Intraday Market Behaviour: An Empirical Analysis

Antonio Scalia ()

Review of Finance, 1998, vol. 1, issue 3, 307-335

Abstract: The model of Foster-Viswanathan (1990, FV) predicts that information heterogeneity among market participants generates patterns in volume, trading costs and volatility. In the Italian Treasury bond market, periodic information asymmetry is related to the arrival of block orders from international investors, which cluster soon after the opening of the market and, respectively, of the US market. Our evidence is that volume is lower and trading costs are higher after the two openings, consistent with FV. We find only weak evidence that volatility behaves as implied by the model. JEL Classification: D82; G14

Date: 1998
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Handle: RePEc:oup:revfin:v:1:y:1998:i:3:p:307-335.