An analysis of transactions data for the Toronto Stock Exchange. Return patterns and end-of-the-day effect
Abstract
Using transactions data for all stocks traded on the Toronto Stock Exchange, this study shows that returns and number of shares traded have a U-shaped pattern when plotted against time of the trading day. These results confirm that the findings of Wood, Mclnish and Ord (1985), Harris (1986), Mclnish and Wood (1988) and Jain and Joh (1989) for the New York Stock Exchange (NYSE) also hold for both another exchange and another country and are not due to peculiarities of United States securities markets. Further, evidence is provided to support the view of Harris (1989) and Terry (1986) that these relatively high end-of-day returns are due, at least in part, to an increase in the proportion of trades at the ask relative to trades at the bid. © 1990.
Publication Title
Journal of Banking and Finance
Recommended Citation
McInish, T., & Wood, R. (1990). An analysis of transactions data for the Toronto Stock Exchange. Return patterns and end-of-the-day effect. Journal of Banking and Finance, 14 (2-3), 441-458. https://doi.org/10.1016/0378-4266(90)90058-A
