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Part of the Springer Proceedings in Business and Economics book series SPBE 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 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.
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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 NYSE Automated Trading System them exhibit the hour of the day but not the day of the week effect. This is a preview of subscription content, log in to check access.
References Amihud Y, Mendelson H Trading mechanisms and stock returns: an empirical investigation. Evidence from the Warsaw Stock Exchange. Central Bank of the Republic of Turkey.
Working Paper No. Appl Econ — CrossRef Google Scholar Ryu D Intraday price formation and bid-ask spread components: a new approach using a cross-market model. In: Abergel F et al eds Econophysics of systemic risk and network dynamics, New economic windows. Springer, New York, pp 77—