Indian Stock Market Shows Unprecedented U-Shaped Liquidity Patterns, Defying Market Norms.
The study looked at how trading volume and spread in the Indian stock market change throughout the day. They used data from 20 stocks on the National Stock Exchange. They found that trading volume and spread tend to be highest in the middle of the day, creating a U-shaped pattern. This is unusual because there are no market makers in the Indian stock market. They also found that market-wide factors don't have a big impact on individual stock liquidity.