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Are Intraday Volume and Volatility U-Shaped After Accounting for Public Information?

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  • James Eaves
  • Jeffrey Williams

Abstract

No matter how pronounced intraday patterns may appear, it is difficult to account for cross-correlations among related assets when those assets trade continuously and simultaneously. Futures contracts are auctioned periodically and sequentially on the Tokyo Grain Exchange (TGE). Even though intraday TGE volume is U-shaped, intraday volatility is closer to L-shaped. After accounting for the public information in immediately preceding auctions for the same commodity, for earlier trading in other commodities, and for trading on overseas markets open overnight in Tokyo, the intraday patterns are effectively flat. Thus, the timing of privately informed traders cannot be the source of intraday patterns. Copyright 2010, Oxford University Press.

Suggested Citation

  • James Eaves & Jeffrey Williams, 2010. "Are Intraday Volume and Volatility U-Shaped After Accounting for Public Information?," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 92(1), pages 212-227.
    • Handle: RePEc:oup:ajagec:v:92:y:2010:i:1:p:212-227
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    File URL: http://hdl.handle.net/10.1093/ajae/aap007
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    Cited by:

    1. Esen Onur & David Reiffen, 2018. "The effect of settlement rules on the incentive to Bang the Close," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(8), pages 841-864, August.
    2. Chi Ming Ho, 2013. "Private information, overconfidence and intraday trading behaviour: empirical study of the Taiwan stock market," Applied Financial Economics, Taylor & Francis Journals, vol. 23(4), pages 325-345, February.
    3. Eaves, James & Williams, Jeffrey & Power, Gabriel J., 2016. "Do traders strategically time their pledges during real-world Walrasian auctions?," Journal of Banking & Finance, Elsevier, vol. 71(C), pages 109-118.
    4. Iwatsubo, Kentaro & Watkins, Clinton & Xu, Tao, 2018. "Intraday seasonality in efficiency, liquidity, volatility and volume: Platinum and gold futures in Tokyo and New York," Journal of Commodity Markets, Elsevier, vol. 11(C), pages 59-71.
    5. Henryk Gurgul & Robert Syrek, 2017. "Trading volume and volatility patterns across selected Central European stock markets from microstructural perspective," Managerial Economics, AGH University of Science and Technology, Faculty of Management, vol. 18(1), pages 87-102.
    6. Ben Ammar, Imen & Hellara, Slaheddine & Ghadhab, Imen, 2020. "High-frequency trading and stock liquidity: An intraday analysis," Research in International Business and Finance, Elsevier, vol. 53(C).
    7. Kentaro Iwatsubo & Clinton Watkins & Tao Xu, 2017. "Intraday Seasonality in Efficiency, Liquidity, Volatility and Volume: Platinum and Gold Futures in Tokyo and New York," Discussion Papers 1715, Graduate School of Economics, Kobe University.

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