Trading pattern synchronization in multi-asset market
Year: 2025
Type: article
Abstract: This paper presents a market microstructure model to explain how traders’ strategic behavior interacts with asymmetric market closures in sequential auctions. The spikes in intraday trading volume and return volatility emerge simultaneously in all traded assets due to the accumulation of liquidity trading in that period because, for discretionary liquidity traders who can choose when to trade, it is less costly when (i) more assets are traded and (ii) the magnitude of liquidity trading in any asset is high. The U-shaped trading volume and return volatility, with increasing return correlation, suggest that liquidity traders primarily drive the intensified trading in the earlier period, while the latter is attributed to informed traders. Our findings align with the observed stylized facts in assets within the same market and across different markets, as reported in the literature.
Author: Chanho Yee
Institution: Seoul National University
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: gold
Estimated APC paid: $1,930
OpenAlex ID: W4414445724