Intraday trading patterns in London listed exchange traded funds

Chelley-Steeley, Patricia and Park, Keebong (2011). Intraday trading patterns in London listed exchange traded funds. International Review of Financial Analysis, 20 (5), pp. 244-251.

Abstract

In this paper we examine the intraday trading patterns of Exchange Traded Funds (ETFs) listed on the London Stock Exchange. ETFs have been shown to be characterised by much lower bid–ask spread costs and by lower levels of information asymmetry than individual securities. One possible explanation for intraday trading patterns is that concentration of trading arises at the start of the trading day because informed traders have private information that quickly diminishes in value as trading progresses. Since ETFs have lower trading costs and lower levels of information asymmetry we would expect these securities to display less pronounced intraday patterns than individual securities. We fail to find that ETFs are characterised by concentrated trading bouts during the day and therefore find support for the argument that information asymmetry is the cause of intraday volume patterns in stock markets. We find that ETF bid–ask spreads and volatility are elevated at the open but not at the close. This lends support to the “accumulation of information” explanation that sees high spreads and volatility at the open as a consequence of information accumulating during a market closure and impacting on the market when it next opens.

Publication DOI: https://doi.org/10.1016/j.irfa.2011.05.001
Divisions: Aston Business School > Accounting
Uncontrolled Keywords: intraday trading patterns,spread,London,Economics and Econometrics,Finance
Published Date: 2011-10

Download

Full text not available from this repository.

Export / Share Citation


Statistics

Additional statistics for this record