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Abstract: The article finds evidence from the Helsinki Stock Exchange that the widely documented U-shape pattern in trading activity - namely heavy trading in the beginning and at the end of the trading day and relatively light trading in the middle of the day - is affected by an anticipated information event (i.e. interim earnings announcement). Before the announcement day, trading is more concentrated at the close. This is consistent with investors' heterogeneous ability to bear expected overnight ... (Update)
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BibTeX entry: (Update)
@misc{ vieru-intraday,
author = "Markku Vieru",
title = "Intraday Trading Behavior around Interim Earnings Announcements on the
Helsinki Stock Exchange",
url = "citeseer.ist.psu.edu/vieru99intraday.html" }
Citations (may not include all citations):546 An Introduction to the Bootstrap (context) - Efron, Tibshirani - 1993
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25 A heteroscedasticity-consistent covariance matrix estimator .. (context) - White - 1980
21 A theory of intraday patterns: volume and price variability (context) - Admati, Pfleiderer - 1988
11 An investigation of transactions data for NYSE stocks (context) - Wood, McInish et al. - 1985
11 An empirical analysis of the limit order book and the order .. (context) - Biais, Hilloin et al. - 1992
10 The information content of annual earnings announcements (context) - Beaver - 1968
7 A transaction data study of weekly and intradaily patterns i.. (context) - Harris - 1986
6 Market reaction to anticipated announcements (context) - Kim, Verrecchia
6 The dependence between hourly prices and trading volume (context) - Jain - 1988
4 Periodic market closure and trading volume (context) - Brock, Kleidon - 1992
3 Variations in trading volume, returns volatility, and tradin.. (context) - Foster, Viswanathan - 1993
3 Trading volume and price reactions to public announcements (context) - Kim, Verrecchia
3 The information content of losses (context) - Hayn - 1995
3 Earnings as an explanatory variable for returns (context) - Easton, Harris - 1991
[Article contains additional citations not shown here]
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