The Intraday Dynamics of Stock Returns and Trading Activity: Evidence from OMXS 30
In this study we analyze the intraday behaviour of stock returns and trading volume using the data on OMXS 30 stocks. We find that returns follow a reverse J-shaped pattern with the peak at the beginning of the trading day, while trading volume attains its maximum towards at the market closure. The highest volatility and kurtosis are observed at 09:30-10:00, and 11:30-12:00, when the macroeconomic
