An investigation of transactions data for NYSE (New York Stock Exchange) stocks

Article Abstract:

The normality and autocorrelation of returns on investments in stocks listed on the New York Stock Exchange are studied through the development of a minute-by-minute return series. The series developed is based on stock market prices, volumes, and transaction times for the six-month period from September 1971 to February 1972 and for the calendar year ended December 31, 1982. Returns on stock investments are shown to vary, depending on whether the trade occurs overnight, at the start or end of the trading day, or during the trading day. For the periods reviewed, positive returns are heavily associated with trading that occurs during the first and last 30 minutes of the trading day. Other stock trading patterns are also discussed. The discussion of the research notes the large amount of data analyzed and the financial significance of the results of the research.

Return on investment, Stock price forecasting, Rate of return

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An analysis of intraday patterns in bid/ask spreads for NYSE stocks

Article Abstract:

The behavior of time-weighted bid-ask spreads over the trading day are examined. The plot of minute-by-minute spreads versus time of day has a crude reverse J-shaped pattern. Schwartz identifies four determinants of spreads: activity, risk, information, and competition. Using a linear regression model, a significant relationship between these same factors and intraday spreads is demonstrated, but dummy variables for time of day have a reverse J-shape. For given values of the activity, risk, information and competition measures, spreads are higher at the beginning and end of the day relative to the interior period. (Reprinted by permission of the publisher.)

Analysis, Trading rooms (Finance)

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Volatility increases subsequent to NYSE and AMEX stock splits

Article Abstract:

The post-split increase in daily returns volatility is less for AMEX stocks than for NYSE stocks. The exchange trading location is a significant factor in explaining the volatility shift even after stock price and firm size are considered. Furthermore, when measured on a weekly basis, there is no increase in AMEX stocks' returns volatility. These results suggest that measurement errors created by bid-ask spreads and the 1/8 effect, and also one or more of the elements that make the NYSE different from the AMEX, explain why the estimated volatility of daily stock returns increases after the ex split date. (Reprinted by permission of the publisher.)

American Stock Exchange L.L.C., Stock splitting

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