Skip to main content
SpringerLink
Log in

Intraday Trading Patterns on the Warsaw Stock Exchange

  • Conference paper
  • First Online:
Contemporary Trends and Challenges in Finance

Part of the book series: Springer Proceedings in Business and Economics ((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 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.

This is a preview of subscription content, log in via an institution to check access.

Access this chapter

Log in via an institution
Chapter
USD 29.95
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
eBook
USD 84.99
Price excludes VAT (USA)
  • Available as EPUB and PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book
USD 109.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info
Hardcover Book
USD 109.99
Price excludes VAT (USA)
  • Durable hardcover edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Purchases are for personal use only

Institutional subscriptions

Notes

  1. 1.

    We extract the relevant information on stocks included in the main WSE index WIG 20 from the BOS brokerage house data bank at http://bossa.pl/notowania/, accessed on 15 Jan 2017.

  2. 2.

    The earlier papers report on the WIG 20 intraday returns and the stealth trading (Będowska-Sójka 2010, 2014), the volatility smile (García-Machado and Rybczyński 2015) as well as on the intraday variability of stock market activity (Gubiec and Wiliński 2015) but for the antecedent trading system Warset.

  3. 3.

    See Jarque and Bera (1987) and Brown and Forsythe (1974). The latter test provides good robustness against many types of non-normal data while retaining good power.

  4. 4.

    The departures from normality are mainly due to the extremely fat tails and the right skew.

  5. 5.

    They are available from the authors upon a request.

References

  • Amihud Y, Mendelson H (1987) Trading mechanisms and stock returns: an empirical investigation. J Financ 42(3):533–553

    Article  Google Scholar 

  • Będowska-Sójka B (2010) Intraday CAC40, DAX and WIG20 returns when the American macro news is announced. Bank i Kredyt 41(2):7–20

    Google Scholar 

  • Będowska-Sójka B (2014) Intraday stealth trading. Evidence from the Warsaw Stock Exchange. Pozn Univ Econ Rev 14(1):5–19

    Google Scholar 

  • Bildik R (2001) Intra-day seasonalities on stock returns: evidence from the Turkish stock market. Emerg Mark Rev 2(4):387–417

    Article  Google Scholar 

  • Brown MB, Forsythe AB (1974) Robust tests for the equality of variances. J Am Stat Assoc 69:364–367

    Article  Google Scholar 

  • Chan KC, Christe WG, Schultz PH (1995a) Market structure and the intraday pattern of bid-ask spreads for NASDAQ securities. J Bus 68(1):35–60

    Article  Google Scholar 

  • Chan K, Chung YP, Johnson H (1995b) The intraday behavior of bid-ask spreads for NYSE stocks and CBOE options. J Financ Quant Anal 30(3):329–346

    Article  Google Scholar 

  • Chelley-Steeley P, Park K (2011) Intraday patterns in London listed exchange traded funds. Int Rev Financ Anal 20:244–251

    Article  Google Scholar 

  • Chiang MH, Huang CM, Lin TY, Lin Y (2006) Intraday trading patterns and day-of-the-week in stock index options markets: evidence from emerging markets. J Financ Manag Anal 19(2):32–45

    Google Scholar 

  • Chung KH, Zhao X (2003) Intraday variation in the bid-ask spread: evidence after the market reform. J Financ Res 26(2):191–206

    Article  Google Scholar 

  • Da Costa AS, Ceretta PS, Müller FM (2015) Market microstructure – a high frequency analysis of volume and volatility intraday patterns across the Brazilian stock market. Br J Manag 8(3):455–462

    Google Scholar 

  • Foster FD, Viswanathan S (1993) Variations in trading volume, return volatility, and trading costs: evidence on recent price formation models. J Financ 48(1):187–211

    Article  Google Scholar 

  • García-Machado JJ, Rybczyński J (2015) Three-point volatility smile classification: evidence from the Warsaw Stock Exchange during volatile summer 2011. Investigaciones Europeas de Dirección y Economía de la Empresa 21:17–25

    Article  Google Scholar 

  • García-Machado JJ, Rybczyński J (2017) How Spanish options market smiles in summer: an empirical analysis for options on IBEX-35. Eur J Financ 23(2):153–169

    Article  Google Scholar 

  • Gerace D, Lepone A (2010) The intraday behaviour of bid-ask spreads across auction and specialist market structures: evidence from the Italian market. Australas Account Bus Financ J 4(1):29–52

    Google Scholar 

  • Gubiec T, Wiliński M (2015) Intra-day variability of the stock market activity versus stationarity of the financial time series. Phys A 432:216–221

    Article  Google Scholar 

  • Huang PY, Ni YS, Yu CM (2012) The microstructure of the price-volume relationship of the constituent stocks of the Taiwan 50 index. Emerg Mark Financ Trade 48(Supplement 2):153–168

    Article  Google Scholar 

  • Ibikunle G (2015) Opening and closing price efficiency: do financial markets need the call auction? J Int Financ Mark Inst Money 38:208–227

    Article  Google Scholar 

  • Jain PC, Joh GH (1988) The dependence between hourly prices and trading volume. J Financ Quant Anal 23(3):269–283

    Article  Google Scholar 

  • Jarque CM, Bera AK (1987) A test for normality of observations and regression residuals. Int Stat Rev 55:163–172

    Article  Google Scholar 

  • Kalev PS, Pham LT (2009) Intraweek and intraday trade patterns and dynamics. Pac Basin Financ J 17:547–564

    Article  Google Scholar 

  • Kleidon AW, Werner IM (1995) Effects of geography and stock-market structure: a comparison of cross-listed securities. Stanford Graduate School of Business Research Paper No. 1348

    Google Scholar 

  • Köksal B (2012) An analysis of intraday patterns and liquidity on the Istanbul Stock Exchange. Central Bank of the Republic of Turkey. Working Paper No. 12/26

    Google Scholar 

  • Lee CMC, Mucklow B, Ready MJ (1993) Spreads, depths and the impact of earnings information: an intraday analysis. Rev Financ Stud 6:345–374

    Article  Google Scholar 

  • Levin EJ, Wright RE (1999) Why does the bid-ask spread vary over the day? Appl Econ Lett 6(9):563–567

    Article  Google Scholar 

  • Louhichi W (2011) What drives the volume-volatility relationship on Euronext Paris? Int Rev Financ Anal 20:200–206

    Article  Google Scholar 

  • Madhavan A (1992) Trading mechanisms in securities markets. J Financ 47(2):607–641

    Article  Google Scholar 

  • McInish TH, Wood RA (1991) Hourly returns, volume, trade size, and number of trades. J Financ Res 14(4):303–315

    Article  Google Scholar 

  • McInish TH, Wood RA (1992) An analysis of intraday patterns in bid-ask spreads for NYSE stocks. J Financ 47(2):753–764

    Article  Google Scholar 

  • Mclnish TH, Wood RA (1990) An analysis of transactions data for the Toronto Stock Exchange: return patterns and end-of-the-day effects. J Bank Financ 14:441–458

    Google Scholar 

  • Ohta W (2006) An analysis of intraday patterns in price clustering on the Tokyo Stock Exchange. J Bank Financ 30:1023–1039

    Article  Google Scholar 

  • Panas E (2005) Generalized beta distributions for describing and analyzing intraday stock market data: testing the U-shape pattern. Appl Econ 37:191–199

    Article  Google Scholar 

  • Ryu D (2011) Intraday price formation and bid-ask spread components: a new approach using a cross-market model. J Futur Mark 31(12):1142–1169

    Article  Google Scholar 

  • Smirlock M, Starks L (1986) Day-of-the-week and intraday effects in stock returns. J Financ Econ 17(1):197–210

    Article  Google Scholar 

  • Tilak G, Széll T, Chicheportiche R, Chakraborti A (2013) Study of statistical correlations in intraday and daily financial return time series. In: Abergel F et al (eds) Econophysics of systemic risk and network dynamics, New economic windows. Springer, New York, pp 77–104. ch. 6

    Chapter  Google Scholar 

  • Viljoen T, Westerholm PJ, Zheng H (2014) Algorithmic trading, liquidity and price discovery: an intraday analysis of the SPI 200 futures. Financ Rev 49:245–270

    Article  Google Scholar 

  • Wood RA, McInish TH, Ord JK (1985) An investigation of transactions data for NYSE stocks. J Financ 40:723–739

    Article  Google Scholar 

Download references

Author information

Authors and Affiliations

  1. Faculty of Management, Department of Econometrics, University of Gdańsk, Sopot, Poland

    Paweł Miłobędzki & Sabina Nowak

Authors
  1. Paweł Miłobędzki
    View author publications

    You can also search for this author in PubMed Google Scholar

  2. Sabina Nowak
    View author publications

    You can also search for this author in PubMed Google Scholar

Corresponding author

Correspondence to Paweł Miłobędzki .

Editor information

Editors and Affiliations

  1. Finance Management Institute, Wroclaw University of Economics, Wroclaw, Poland

    Krzysztof Jajuga

  2. Faculty of Management and Economics, Dresden University of Technology, Dresden, Germany

    Hermann Locarek-Junge

  3. Department of Economics and Finance, Sacred Heart University, Jack Welch College of Business, Fairfield, Connecticut, USA

    Lucjan T. Orlowski

Rights and permissions

Reprints and permissions

Copyright information

© 2018 Springer International Publishing AG, part of Springer Nature

About this paper

Check for updates. Verify currency and authenticity via CrossMark

Cite this paper

Miłobędzki, P., Nowak, S. (2018). Intraday Trading Patterns on the Warsaw Stock Exchange. In: Jajuga, K., Locarek-Junge, H., Orlowski, L. (eds) Contemporary Trends and Challenges in Finance. Springer Proceedings in Business and Economics. Springer, Cham. https://doi.org/10.1007/978-3-319-76228-9_6

Download citation

Publish with us

Policies and ethics

Search

Navigation