Wood and Ord are from Pennsylvania State University, and McInish is from the University of Texas at Arlington.
An Investigation of Transactions Data for NYSE Stocks
Article first published online: 30 APR 2012
1985 The American Finance Association
The Journal of Finance
Volume 40, Issue 3, pages 723–739, July 1985
How to Cite
WOOD, R. A., McINISH, T. H. and ORD, J. K. (1985), An Investigation of Transactions Data for NYSE Stocks. The Journal of Finance, 40: 723–739. doi: 10.1111/j.1540-6261.1985.tb04996.x
- Issue published online: 30 APR 2012
- Article first published online: 30 APR 2012
Using transactions data, the behavior of returns and characteristics of trades at the micro level is examined. A minute-by-minute market return series is formed and tested for normality and autocorrelation. Evidence of differences in return distributions is found among overnight trades, trades during the first 30 minutes following the market opening, trades at the close, and trades during the remainder of the day. The latter distribution is found to be normal. Unusually high returns and standard deviations of returns are found at the beginning and the end of the trading day. When the beginning-and end-of-the-day effects are omitted, autocorrelation in the market return series is reduced substantially. A number of patterns in trading are reported.