The intraday effect and the extension of trading hours for Taiwanese securities

This paper examines the effect of the extension of the trading hours of the Taiwan Stock Exchange on the intraday patterns. Although the intraday trading volume and return volatility exhibit the familiar inverse J-shapes, in both 2000 and 2001, the pattern of the transaction costs is flatter in 2001. We find that informative trades are more obvious at the beginning of the trading day. The reason for these patterns at the beginning of the day are due to the information asymmetry and the reason for the end of the intraday pattern is due to the overnight risk.