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Intraday Trading Patterns on the Warsaw Stock Exchange

In: Contemporary Trends and Challenges in Finance

Author

Listed:
  • Paweł Miłobędzki

    (University of Gdańsk)

  • Sabina Nowak

    (University of Gdańsk)

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.

Suggested Citation

  • Paweł Miłobędzki & Sabina Nowak, 2018. "Intraday Trading Patterns on the Warsaw Stock Exchange," Springer Proceedings in Business and Economics, in: Krzysztof Jajuga & Hermann Locarek-Junge & Lucjan T. Orlowski (ed.), Contemporary Trends and Challenges in Finance, pages 55-66, Springer.
    • Handle: RePEc:spr:prbchp:978-3-319-76228-9_6
    DOI: 10.1007/978-3-319-76228-9_6
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