The Intraday Dynamics of Stock Returns and Trading Activity: Evidence from OMXS 30

Sammanfattning: In this study we analyze the intraday behaviour of stock returns and trading volume using the data on OMXS 30 stocks. We find that returns follow a reverse J-shaped pattern with the peak at the beginning of the trading day, while trading volume attains its maximum towards at the market closure. The highest volatility and kurtosis are observed at 09:30-10:00, and 11:30-12:00, when the macroeconomic news are released. Cross-sectional autoregressions reveal that both returns and volumes are significantly and positively affected by their own past realizations at daily frequencies. However, periodicity in volumes does not explain periodicity in returns. Return continuation at daily frequencies is confirmed by analyzing stocks’ performance in the long run. Our results are not affected by decreasing the sampling frequency from 15 to 30 minutes.