The Synchronicity of S&P 500 Stock Price Movements

• Main Authors: Cheng-Chin Liao, 廖陳慶
• Other Authors: Chin-Wen Hsin
• Format: Others
• Language: en_US
• Published: 2004
• Online Access: http://ndltd.ncl.edu.tw/handle/61089252064232004977

碩士 === 元智大學 === 財務金融研究所 === 92 === This paper examines the intra-day stock price synchronicities for the S&P500 stocks during the calendar year 2000. Particular emphasis is addressed on its relationship with the trading activities, including trading volatility, trading liquidity and trading volume. In examining the seasonality of synchronicities, we do not find any day-of-the-week effect in our sample while identify significant session effects of the intra-day price synchronicities. In particular, the price synchronicity shows the lowest value for the opening session, suggesting that the firm-specific information is particularly important in price formation during opening hour. We further investigate the impact of trading volume and price volatility on intra-day synchronicities. After we have controlled for the day-of-the-week and session differences, the trading volatility and volume still show significantly positive impact on synchronicity.