Trading Behavior and Asset Returns: Evidence from the Interday Serial Correlations of Intraday‐to‐Intraday Daily Returns of Taiwan |
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| Authors: | Edward H Chow Ping Hsiao & Yu&#;Jane Liu |
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| Institution: | National Chengchi University, ROC,;San Francisco State University, USA |
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| Abstract: | This paper sheds light on the importance of trading behavior in the determination of asset prices by examining the interday serial correlations of intraday‐to‐intraday daily returns of the Taiwan Stock Exchange (TSEC). The TSEC exhibits positive serial correlation in the beginning and the end of the week and negative serial correlation in the middle of the week. The interday serial correlation is not a result of non‐synchronous trading, bid‐ask bounce in transaction price, or price limits. The serial correlation is positively related to trading volume and similar to the pattern in the US. We suggest that trading behavior seems to be an important determinant of asset prices. |
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