Intraday versus Inter-day Trading: Analysis of Market Depth Trading Volume and Return Volatility with Holiday Effects on US and Taiwan Stock Market

  • 張 陳福

Student thesis: Master's Thesis


Intraday and inter-day trading activities become so popular recently because they have different motives and benefits to raise profits for traders or investors on the stock market (Choe & Sik Shin 1993) Intraday trading is related with open-close sessions in one trading day; while inter-day trading is related with day by day trading on a weekday basis This study is conducted in order to help traders and investors to analyze precisely and trade wisely either intraday or inter-day trading on the New York Stock Exchange (NYSE) and Taiwan Stock Exchange (TWSE) Study period is from January 01 2000 to April 30 2014 in daily basis This study used some parameters that might influence the intraday and inter-day trading performances such as market depth trading volume return volatility (divide it into 5 ways) and also holiday effects Dummy variables are applied for holiday and the day of the week effects Descriptive statistics and quantiles regressions are tested in this study as well The results explained that market depth (MD) has positively significant while trading volume (TV) has negatively significant influences to the trading performances Various results are existed in the return volatility (RV) measurement In the other hand presence of holiday could influence the relationship of market depth trading volume and return volatility to the intraday and inter-day trading performances; but not for the day of the week effects Lastly QR’s graph analysis also will be provided and compare with the OLS line
Date of Award2015 Jan 28
Original languageEnglish
SupervisorAnn Shawing Yang (Supervisor)

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