Stats › Intraday and market microstructure › Intraday periodicity

Stock returns repeat every 13 half hours, at t = 9.62

Daily winners (same half hour yesterday): 1.66bp+1.66bpDaily winners(same half hour yesterday)Daily losers (same half hour yesterday): -1.35bp-1.35bpDaily losers(same half hour yesterday)Non-daily winners (recent interval): -1.51bp-1.51bpNon-daily winners(recent interval)Non-daily losers (recent interval): 3.16bp+3.16bpNon-daily losers(recent interval)

The two left bars are stocks sorted on their return in the same half hour of the previous day: winners keep winning. The two right bars are stocks sorted on their most recent non-daily interval: winners reverse and losers bounce. Same dataset, opposite signs. Source: Heston, Korajczyk and Sadka, Journal of Finance 2010, Table III.

US stock returns repeat at intervals of exactly one trading day. The stocks that were relatively strong in a given half hour tend to be strong again the next day, at a t statistic of 9.62. Spreads take the trade to minus 23.78 basis points.

13 half hoursIntervals per day
9.62Smallest daily-lag t stat
+3.01bpDecile spread, gross
-23.78bpAfter bid-ask costs

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