The Intra-Day Stock Return Periodicity Puzzle

Puntos clave

• Intra-day stock return patterns exhibit significant periodicity, challenging traditional market theories.
• Key findings revealed that stock returns are not evenly distributed, with distinct peaks and troughs throughout the trading day.
• Assessment using time series analysis on high-frequency trading data from various markets over a two-year period.
• The patterns observed may suggest inefficiencies in the market, highlighting the need for further exploration.