PT  - JOURNAL ARTICLE
AU  - Scott Lyden
TI  - Time of Day and Market Impact
AID  - 10.3905/jot.2007.688951
DP  - 2007 Jun 30
TA  - The Journal of Trading
PG  - 76--81
VI  - 2
IP  - 3
4099  - https://pm-research.com/content/2/3/76.short
4100  - https://pm-research.com/content/2/3/76.full
AB  - 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