Intraday trading patterns in London listed exchange traded funds

Patricia Chelley-Steeley, Keebong Park

Research output: Contribution to journalArticlepeer-review


In this paper we examine the intraday trading patterns of Exchange Traded Funds (ETFs) listed on the London Stock Exchange. ETFs have been shown to be characterised by much lower bid–ask spread costs and by lower levels of information asymmetry than individual securities. One possible explanation for intraday trading patterns is that concentration of trading arises at the start of the trading day because informed traders have private information that quickly diminishes in value as trading progresses. Since ETFs have lower trading costs and lower levels of information asymmetry we would expect these securities to display less pronounced intraday patterns than individual securities. We fail to find that ETFs are characterised by concentrated trading bouts during the day and therefore find support for the argument that information asymmetry is the cause of intraday volume patterns in stock markets. We find that ETF bid–ask spreads and volatility are elevated at the open but not at the close. This lends support to the “accumulation of information” explanation that sees high spreads and volatility at the open as a consequence of information accumulating during a market closure and impacting on the market when it next opens.
Original languageEnglish
Pages (from-to)244-251
Number of pages12
JournalInternational Review of Financial Analysis
Issue number5
Publication statusPublished - Oct 2011


  • intraday trading patterns
  • spread
  • London


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