Intraday return spillovers and its variations across trading sessions |
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| Authors: | Chia-Ching Chang Sheng-Syan Chen Robin K Chou Chin-Wen Hsin |
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| Institution: | (1) Graduate School of Management, Yuan Ze University, Taoyuan, Taiwan, ROC;(2) Department of Business Administration, China University of Science and Technology, Taipei City, Taiwan, ROC;(3) Department of Finance, National Taiwan University, Taipei City, Taiwan, ROC;(4) Department of Finance, National Central University, Taoyuan, Taiwan, ROC;(5) Department of Finance, Yuan Ze University, Taoyuan, 32003, Taiwan, ROC |
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| Abstract: | The main purpose of this paper is to study the intraday return spillovers and their real time variations amongst selected
technology stocks. Based upon randomly selected technology stocks in terms of multilateral analysis, we find the following
evidence. Firstly, we find that positive spillover effects are discernible amongst medium- and large-sized stocks, with the
effects being directionally asymmetric between different size groups. Secondly, we find that for most stocks, the full effects
of the firm-specific shocks over other stocks are realized within approximately 30 min to 2 h. Finally, we show that the spillover
effects tend to follow an M-shaped intraday pattern. Our results suggest that during the opening and closing sessions, trades
motivated by information spilled over from other firms are relatively subordinated, with the trading at these times being
largely dominated by those based upon common market factor or firm-specific fundamental information. |
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