臺灣博碩士論文加值系統

This paper examines the intra-day stock price synchronicities for the S&P500 stocks during the calendar year 2000. Particular emphasis is addressed on its relationship with the trading activities, including trading volatility, trading liquidity and trading volume. In examining the seasonality of synchronicities, we do not find any day-of-the-week effect in our sample while identify significant session effects of the intra-day price synchronicities. In particular, the price synchronicity shows the lowest value for the opening session, suggesting that the firm-specific information is particularly important in price formation during opening hour. We further investigate the impact of trading volume and price volatility on intra-day synchronicities. After we have controlled for the day-of-the-week and session differences, the trading volatility and volume still show significantly positive impact on synchronicity.

This paper examines the intra-day stock price synchronicities for the S&P500 stocks during the calendar year 2000. Particular emphasis is addressed on its relationship with the trading activities, including trading volatility, trading liquidity and trading volume. In examining the seasonality of synchronicities, we do not find any day-of-the-week effect in our sample while identify significant session effects of the intra-day price synchronicities. In particular, the price synchronicity shows the lowest value for the opening session, suggesting that the firm-specific information is particularly important in price formation during opening hour. We further investigate the impact of trading volume and price volatility on intra-day synchronicities. After we have controlled for the day-of-the-week and session differences, the trading volatility and volume still show significantly positive impact on synchronicity.

Contents
1. Introduction……………………………………….…....…….1
2. Data…………………………………………….………..…...6
3. Methodology………………………………….………....…....8
3.1 Definition of Variable……………………………….….…....8
3.2 Research Models to explain Variations in Synch…………….…...11
3.2.1 Day-of-the-week effects and the effects of trading volume and volatility………………………………………..…….11
3.2.2 Trading-session Effects and the effects of trading volume and volatility……………………………………….…….12
3.2.3 Effects of trading volatility and volume…………….…..….13
3.2.4 Trading session and volume interaction effect………..….…..15
4. Empirical Results…………………………………....….…...15
4.1 Regression results for Weekday Effect…………….…….….….15
4.2 Regression results for Session Effect…………….………..…...16
4.3 Regression results for Effects of trading volatility and volume.............................................................................17
4.4 Regression results for Trading session and volume interaction effect……………………………….……….……….....20
5. Conclusions……………………………………………….…22
Reference……………………………………………………..24
Tables
Table 1 Descriptive Statistics…………………………………………...26
Figure 1 Qsyn , Tsyn synchronicity and trading volume (15 minute)…..29
Figure 2 Qsyn , Tsyn synchronicity and trading volume (30 minute)......30
Table 2 Analysis the Day-of-the-Week Effect on Intra-day Quote/Trade Price Synchronicities……………………………………………………31
Table 3 Analysis the Trading Session Effects on Intra-day Price Synchronicities………………………………….………………………32
Table 4.a Analysis of Differential Quote Price Synchronicities across Trading Sessions………………………………………………………...34
Table 4.b Analysis of Differential Trade Price Synchronicities across Trading Sessions………………………………………………………...36
Table 5.a Analysis of the Impact of Volatility on Quote Price Synchronicities………………………………………………………….38
Table 5.b Analysis of the Impact of Volatility on Trade Price Synchronicities………………………………………………………….39
Table 6 Analysis of the Impact of Trading Volume on Trade Price Synchronicities………………………………………………………….40
Table 7.a Analysis of the Impact of Volatility on Quote Price Synchronicities across Trading Session……………….………………..41
Table 7.b Analysis of the Impact of Volatility on Trade Price Synchronicities across Trading Session……………….………………..43
Table 8 Analysis of the Impact of Trading Volume on Trade Price Synchronicities across Trading Session………………………………...45
Table 9 Analysis of the Impact of Trading Volume and Trading Session Interaction………………………………………………………………46

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