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Explaining Intraday Pattern of Trading Volume from the Order Flow Data
Author(s) -
Lee YiTsung,
Fok Robert C.W.,
Liu YuJane
Publication year - 2001
Publication title -
journal of business finance and accounting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.282
H-Index - 77
eISSN - 1468-5957
pISSN - 0306-686X
DOI - 10.1111/1468-5957.00371
Subject(s) - market liquidity , algorithmic trading , high frequency trading , order (exchange) , volume (thermodynamics) , pairs trade , business , alternative trading system , financial economics , stock trading , dark liquidity , market microstructure , flash trading , econometrics , stock market , economics , finance , paleontology , physics , horse , quantum mechanics , biology
Based on a comprehensive order flow data from the Taiwan stock market, this study examines directly how the intraday pattern of trading volume is related to the trading behavior of both informed and uninformed traders. The results indicate that both informed and uninformed investors have a strong desire to place orders at the market open and the close. Most of the orders at the market open are conservative and hence are waiting orders for price priority. The findings show that intraday trading volume as well as the real orders from both types of investors are J‐shaped. In addition, both information and liquidity trading can explain the intraday pattern of trading volume. However, the impact of liquidity trading on volume is slightly higher than that of information trading.