Trading and non-trading period Internet information flow and intraday return volatility

• We employ Baidu News as a proxy for information flow.
• A positive impact of Internet information on volatility persistence is discovered.
• Trading period Internet information is a better proxy for information flow.
• The results provide evidences for the MDH.

This paper employs the news appeared in Baidu News as the proxy for Internet information flow, separates them into trading period and non-trading period information and provides alternative evidence for the Mixture of Distribution Hypothesis (MDH). The empirical results show that the contemporary information can effectively reduce the volatility persistence; meanwhile, the lead information and the aggregate information also show some explanatory power. Some future directions are pointed out in the concluding remarks.