MARKET MICROSTRUCTURE - A HIGH FREQUENCY ANALYSIS OF VOLUME AND VOLATILITY INTRADAY PATTERNS ACROSS THE BRAZILIAN STOCK MARKET MICROESTRUTURA DE MERCADO - UMA ANÁLISE DE ALTA FREQUÊNCIA DO VOLUME E DOS PADRÕES DE VOLATILIDADE EM TODO O MERCADO DE AÇÕES BRASILEIRO

Weinvestigatemarketmicrostructurewithhighfrequencydataforallstocksthatparticipate � intheIbovespaindex,�traditionalandinfluentialLatinAmericanindex.�Marketmicrostructurehasbeen� widelyinvestigatedindevelopedmarketshowevernotmanystudiesfocusondevelopingcountriessuch� asBrazil.�Wemodeledvolatilitywithastraightforwardmethodusingstandarddeviationasproxy,�and� classifiedthevolumetradedofallIbovespastocksinevery�10�minutesintervalofthetradingdayssam- pled.�Intheend,�wefoundsimilaritiesofpreviousinvestigationsdocumentedinfinancialliteraturesuch� asthestylizedfactsL-shapepatternforvolatilityandtheU-shapeforvolume.�Oneinterestingfindingis� thatduringthemostactivetradingtime, �theintervalthatcomprisestheclosingcall,�volatilityslumps;�on� theotherhand,�thesecondmostactivetradingtime,�theopening,�displaysextremevolatility.