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1. INTRODUCTION
ß Blackwell Publishers Ltd. 2001, 108 Cowley Road, Oxford OX4 1JF, UK
and 350 Main Street, Malden, MA 02148, USA. 199
200 LEE, FOK AND LIU
Figure 1
Intraday Volume
4. EMPIRICAL RESULTS
Table 1a
Buy and Sell Orders
Table 1b
Order/Volume Ratio and Order Price Spread
Table 2
Real and Waiting Orders in Terms of Lots in Trades
Open 410.53 254.17 545.21 293.91 714.92 380.72 1291.89 588.49 1.95
9:06 317.76 159.05 330.31 145.50 86.78 39.22 156.24 62.09 2.20
9:12 311.99 163.25 341.53 179.17 89.08 40.56 122.31 65.66 1.93
10:12 208.87 116.20 215.99 118.52 40.44 21.60 37.95 20.97 1.81
10:18 210.22 113.05 205.51 112.75 35.14 20.28 36.48 19.16 1.84
10:24 195.79 109.21 194.72 108.36 29.88 16.66 28.33 16.62 1.79
10:30 201.24 104.54 202.79 110.09 28.15 15.94 29.71 16.96 1.87
10:36 184.86 101.21 197.74 106.01 27.68 15.86 31.67 15.01 1.86
10:42 188.11 104.08 198.49 105.64 27.08 16.61 28.55 14.11 1.84
10:48 194.38 111.38 180.62 100.62 25.60 17.00 28.98 13.96 1.77
10:54 207.70 115.28 186.46 101.70 23.40 15.86 30.12 13.54 1.82
11:00 192.76 111.89 192.19 105.98 27.50 15.36 27.11 14.07 1.78
11:06 195.65 102.15 213.56 112.31 23.71 13.88 28.81 13.54 1.91
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11:12 200.04 108.67 218.15 117.05 28.12 16.22 28.34 13.40 1.86
11:18 194.74 107.99 207.13 112.42 29.27 17.61 22.91 12.24 1.81
11:24 201.94 114.49 189.56 107.96 27.09 16.39 18.51 11.67 1.74
11:30 222.46 123.91 218.02 120.99 28.11 16.11 24.02 11.82 1.81
11:36 254.19 131.25 246.91 133.76 26.42 16.52 29.40 13.67 1.89
11:42 279.52 145.88 259.22 144.11 29.94 18.77 28.22 13.95 1.85
11:48 346.69 180.97 295.71 165.35 33.94 20.63 33.75 15.62 1.86
F-all 4.48** 6.11** 4.23** 7.54** 16.29** 35.39** 33.40** 49.30** 0.72
F-open, 9:06 0.95 4.57* 3.21 8.27** 14.99** 36.05* 28.79** 45.24** 0.29
F-open, inn 15.24** 41.64** 43.89** 70.63** 468.87** 1019.74** 961.91** 1390.40** 0.54
F-open, close 4.22* 2.30 0.77 1.47 16.72** 38.62** 35.25** 52.83** 0.89
F-9:06, inn 3.50 2.89 4.83* 1.01 26.59** 18.22** 97.89** 65.23** 2.68
F-9:06, close 7.60** 10.80** 5.54* 17.64** 2.19 1.88 12.64** 16.02** 3.50*
F-close, inn 98.07** 116.83** 85.60** 154.93** 3.28 2.76 0.11 0.01 0.15
Notes:
Informed orders = orders with size 20 lots; F stands for F-statistic; `all' represents all trade intervals; `open' represents the open trade; `9:06' represents
the first six-minute interval (9:00±9:06) excluding the open trade; `inn' represents the interior periods from 9:06 to 11:54; `close' represents the last
trade interval (11:54±12:00). *, ** indicates significance at the 1% and 10% levels, respectively.
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Table 5
Volume Regressions±Real/Waiting Orders
VOLt a0 a1 INFBR t a2 INFSR t a3 UNFBR t a4 UNFSR t a5 INFBW t a6 INFSW t
Interval INTERCEP INFBR INFSR UNFBR UNFSR INFBW INFSW UNFBW UNFSW Adjusted R2
Open ÿ155.664** 0.29827** 0.22743** 0.57864** 0.52367** 0.01383 0.01743 0.07496 0.03672 0.6502
9:06 ÿ57.263** 0.46459** 0.33230** 1.27739** 1.15697** 0.01530 0.04144 ÿ0.29319 ÿ0.08964 0.8327
9:12 ÿ69.310** 0.47046** 0.30600** 1.17194** 0.92263** 0.05222 ÿ0.02205 ÿ0.05269 ÿ0.06593 0.8040
9:18 ÿ66.464** 0.47786** 0.34084** 1.18693** 0.67539** 0.18133 0.15628 0.67285* ÿ0.15800 0.8306
9:24 ÿ47.357** 0.55347** 0.34415** 1.13025** 0.73423** 0.09041 ÿ0.06501 0.28633 ÿ0.38708 0.8084
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9:30 ÿ62.382** 0.55127** 0.37954** 1.07483** 1.08425** ÿ0.05829 ÿ0.12886 ÿ0.10922 ÿ0.63562 0.7828
9:36 ÿ58.385** 0.41273** 0.48126** 1.19042** 1.04315** 0.25194 0.00040 ÿ0.33523 ÿ1.04445** 0.8033
9:42 ÿ34.847** 0.49309** 0.39765** 1.15042** 0.79481** 0.08256 0.10776 ÿ0.08331 ÿ0.20133 0.7844
9:48 ÿ43.789** 0.55435** 0.50039** 0.92682** 0.94770** 0.01136 ÿ0.20452* ÿ0.36881 ÿ0.25390 0.7839
9:54 ÿ41.114** 0.49486** 0.45474** 1.21168** 0.75340** 0.01812 0.03731 0.86169* ÿ0.21204 0.7809
10:00 ÿ55.563** 0.50462** 0.47818** 1.05875** 0.91820** ÿ0.03817 ÿ0.21786 0.17601 0.00599 0.7962
10:06 ÿ47.207** 0.48700** 0.51142** 1.33100** 0.66480** 0.03155 0.15123 0.51694 ÿ1.09909** 0.8233
10:12 ÿ41.729** 0.51513** 0.47417** 0.81963** 0.90082** 0.14991 0.13887 0.32271 ÿ0.77314* 0.7883
10:18 ÿ39.743* 0.47025** 0.49287** 1.20416** 0.66784** 0.15341 ÿ0.04723 0.03471 ÿ0.58885 0.7963
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10:24 ÿ20.057 0.55099** 0.48846** 0.98342** 0.82527** 0.08318 ÿ0.34249* ÿ0.00261 ÿ0.58373 0.7344
10:30 ÿ47.761** 0.48630** 0.45592** 1.07349** 0.93003** 0.09920 0.20703 ÿ0.03461 ÿ0.03698 0.7850
10:36 ÿ62.282** 0.54169** 0.46699** 1.15224** 1.11969** 0.34842 0.03618 0.31207 ÿ0.86429* 0.8010
10:42 ÿ49.119** 0.53659** 0.56996** 0.98865** 1.09666** 0.01366 ÿ0.04675 ÿ0.45243 ÿ1.44598* 0.7974
10:48 ÿ63.342** 0.52269** 0.53338** 1.19527** 1.29695** ÿ0.22299 ÿ0.35624 ÿ0.55371 ÿ0.72369 0.8203
10:54 ÿ46.776** 0.64485** 0.33462** 0.99797** 1.29082** ÿ0.04600 0.16212 ÿ0.33889 ÿ0.45035 0.8078
11:00 ÿ54.993** 0.51107** 0.53219** 1.02295** 1.07469** ÿ0.04818 ÿ0.23189 0.05457 ÿ0.65205 0.8097
11:06 ÿ97.988** 0.41097** 0.58819** 1.12968** 1.27574** ÿ0.02716 0.67099* 0.24515 ÿ0.54198 0.8257
11:12 ÿ42.948** 0.48394** 0.55487** 0.82399** 1.15251** ÿ0.07129 0.22644 0.67905 ÿ0.51464 0.8082
Notes:
VOLt is the trading volume at time interval t. For the independent variables, INF and UNF stand for informed and uninformed traders, respectively.
The fourth character identifies whether it is a sell (S) or a buy (B) order. The final character indicates whether it is a real (R) or a waiting (W) order.
For each of the trading intervals, the above regression is estimated for each of the 30 sample firms, respectively. Reported coefficient is the average of
the coefficients for the 30 firms. The T-statistics are calculated by using the coefficients obtained from the regression for each of the sample firms.
*, ** indicates significance at the 1% and 10% levels, respectively.
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5. CONCLUSIONS
Figure 2
Distributions of Orders for Different Classification Schemes
Case 1
Real Orders
Case 2
Real Orders
Case 3
Real Orders
Figure 2 (Continued)
Case 1
Waiting Orders
Case 2
Waiting Orders
Case 3
Waiting Orders
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224 LEE, FOK AND LIU
Figure 2 (Continued)
Case 4
Real Orders
Case 5
Real Orders
Case 6
Real Orders
Figure 2 (Continued)
Case 4
Waiting Orders
Case 5
Waiting Orders
Case 6
Waiting Orders
Note:
Case 1±Case 6 are referred to different classification schemes as defined in Table 6.
Notes:
* ptp = price of the previous transaction.
Case 1 is the base case. Results reported in Table 1±Table 5 of the text are based on the definitions stated in Case 1.
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Table 7
Comparison of Regression Results Among Different Specifications and Definitions of Real/Waiting Orders and
Informed/Uninformed Orders
Panel A
Major Findings in Table 4 Case 1 Case 2 Case 3 Case 4 Case 5 Case 6
Panel B
Major Findings in Table 5 Case 1 Case 2 Case 3 Case 4 Case 5 Case 6
a b c d a b c d a b c d a b c d a b c d a b c d
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Table 7 (Continued)
`✓': more than 2/3 of the coefficients are consistent with the result listed in the first column; `✗: more than 2/3 of the coefficients are opposite to the
result listed in the first column; `?': less than 2/3 but more than 1/3 of the coefficients are consistent with the result listed in the first column.
INTRADAY PATTERN OF TRADING VOLUME 229
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