Intraday Trading Patterns on the Warsaw Stock Exchange

Paweł Miłobędzki () and Sabina Nowak
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Paweł Miłobędzki: University of Gdańsk

A chapter in Contemporary Trends and Challenges in Finance, 2018, pp 55-66 from Springer

Abstract: Abstract We estimate linear regressions with dummy variables for the rates of return, spreads and volumes of stocks included in the main Warsaw Stock Exchange index WIG 20 to reveal the intraday trading patterns after the Universal Trading Platform was introduced in April 2013. In doing so we use the data rounded to nearest second and aggregated into that of 1 h frequency. The analysis shows that the spreads and volumes exhibit either the day of the week or the hour of the day effect or both. The spreads resemble the reversed J and the volumes are U-shaped. The rates of return are mostly positive but eventually decline at the end of the trading day. Some of them exhibit the hour of the day but not the day of the week effect.

Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:spr:prbchp:978-3-319-76228-9_6

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DOI: 10.1007/978-3-319-76228-9_6

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