Explaining Intraday Pattern of Trading Volume from the Order Flow Data
利用台湾股市订单流数据，研究知情与非知情交易者的行为如何形成交易量的J型日内模式，发现流动性交易的影响略大于信息交易。
Based on a comprehensive order flow data from the Taiwan stock market, this study examines directly how the intraday pattern of trading volume is related to the trading behavior of both informed and uninformed traders. The results indicate that both informed and uninformed investors have a strong desire to place orders at the market open and the close. Most of the orders at the market open are conservative and hence are waiting orders for price priority. The findings show that intraday trading volume as well as the real orders from both types of investors are J‐shaped. In addition, both information and liquidity trading can explain the intraday pattern of trading volume. However, the impact of liquidity trading on volume is slightly higher than that of information trading.