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Intraday Stock Returns Patterns Revisited. A Day of the Week and Market Trend Approach
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Intraday Stock Returns Patterns Revisited. A Day of the Week and Market Trend Approach

Constantina Kottaridi and Vasileios Pappas
SSRN Electronic Journal
SSRN
2020

Abstract

In this paper, we investigate the intraday behavior of the General index of the Athens Stock Exchange. We find evidence for a U shape pattern for both returns and volatility. Returns are positive at the opening and closing phases of a trading session, with the pattern being more pronounced in specific days of the week. Subsequent analysis for bull and bear markets shows evidence of an upward and a downward return pattern, respectively

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