Intraday variation in cross-sectional stock comovement and impact of index-based strategies

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Markets Pub Date : 2024-03-01 DOI:10.1016/j.finmar.2024.100894

Yiwen Shen , Meiqi Shi

引用次数: 0

Abstract

We investigate how comovement of S&P 500 stocks changes during a day using a large high-frequency dataset and estimators that are robust under microstructure noise and asynchronicity. We find that, in 2011 to 2021, the stock correlation increases substantially throughout the trading session, while the cross-sectional beta dispersion decreases concurrently. Thus, S&P 500 stocks exhibit stronger comovement near the market close. The time-varying comovement can be explained by the intraday variation in the composition of index-based and firm-based order flows. A cross-section market impact model with time-varying demand from single-stock and index investors generates the intraday patterns we observe.

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横截面股票动向的日内变化及指数型策略的影响

我们使用大型高频数据集以及在微观结构噪声和异步性条件下稳健的估计器，研究了 S&P 500 指数股票的相关性在一天内的变化情况。我们发现，在 2011 年至 2021 年期间，股票相关性在整个交易时段内大幅上升，而横截面贝塔离散度同时下降。因此，S&P 500 指数的股票在临近收市时表现出更强的相关性。指数订单流和公司订单流构成的盘中变化可以解释这种随时间变化的相关性。一个具有来自单一股票和指数投资者的时变需求的横截面市场影响模型产生了我们观察到的盘中模式。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Financial Markets BUSINESS, FINANCE-

CiteScore

3.40

自引率

3.60%

发文量

期刊介绍： The Journal of Financial Markets publishes high quality original research on applied and theoretical issues related to securities trading and pricing. Area of coverage includes the analysis and design of trading mechanisms, optimal order placement strategies, the role of information in securities markets, financial intermediation as it relates to securities investments - for example, the structure of brokerage and mutual fund industries, and analyses of short and long run horizon price behaviour. The journal strives to maintain a balance between theoretical and empirical work, and aims to provide prompt and constructive reviews to paper submitters.