TY - JOUR T1 - Time of Day and Market Impact JF - The Journal of Trading SP - 76 LP - 81 DO - 10.3905/jot.2007.688951 VL - 2 IS - 3 AU - Scott Lyden Y1 - 2007/06/30 UR - https://pm-research.com/content/2/3/76.abstract N2 - Intraday fluctuations in permanent and temporary market impact are examined using 2006 and 2007 tick data for a large sample of U.S. stocks. Excess market impact is observed in the first half-hour of the day, possibly attributable to asymmetric information at the beginning of the day. This early-morning effect is absent from the trading behavior of European ADRs, a fact we interpret as consistent with the information asymmetry hypothesis. The article also sheds light on the shape of permanent and temporary impact functions with respect to trade size.TOPICS: Technical analysis, developed, statistical methods ER -