Dynamic autocorrelation of intraday stock returns

Authors

Xi Dong, Baruch College
Shu Feng, Clark University
Leng Ling, Georgia College & State University
Pingping Song, Georgia Gwinnett College

Document Type

Article

Publication Date

2-1-2017

Publication Title

Finance Research Letters

Abstract

We discover three significant periodicities in the autocorrelation of intraday stock returns. We demonstrate that (i) the autocorrelation is 64% more negative during afternoons than during mornings, (ii) the autocorrelation is more negative Tuesdays through Fridays than on Mondays, (iii) overall serial correlation becomes less negative when salient information events arrive, i.e., earnings months, but measures less negative during mornings and on Mondays. Our results support the hypothesis that informational demand is more critical following daily and weekly market closures when information accumulated cannot easily be traded on, while liquidity demand intensifies closer to the no-trading periods.

Volume Number

20

First Page

274

Comments

© 2016 Elsevier Inc.

Last Page

280

Recommended Citation

Dong, X. Feng, Y.S., Ling, L. & Song, P. (2017). Dynamic autocorrelation of intraday stock returns. Finance Research Letters, 20: 274-280.