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.