On the interday homogeneity in the intraday rate of trading

In this paper we perform a computationally intensive empirical investigation of interday homogeneity in the intraday rate of trading for six NYSE-traded stocks. For each of these six stocks, we test the homogeneity of the kth trading day to the remainder of the sample using a likelihood ratio test for each of the forty trading days in the sample. At the α=0.01 level, we find that about one-half of all trading days considered are homogeneous to the remainder of the sample, although this proportion varies across individual samples.