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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/62432


    Title: Intraday Return Spillovers and Its Variations across Trading Sessions
    Authors: 張佳菁;陳聖賢;周冠男;辛敬文
    Chang, Chia-Ching;Chen, Sheng-Syan;Chou, Robin K.;Hsin, Chin-Wen
    Contributors: 政大財管系
    Keywords: Aggregate shock model;Intraday variation;Spillover effect
    Date: 2011-03
    Issue Date: 2013-12-12 17:11:51 (UTC+8)
    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.
    Relation: Review of Quantitative Finance and Accounting, 36(3), 355-390
    Data Type: article
    Appears in Collections:[Department of Finance] Periodical Articles

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