Anatomy of intraday volatility at the Chilean stock exchange

This is the first study, to our best knowledge, that investigates the intraday volatility characteristics of the Santiago Stock Exchange. The Chilean Stock market has grown consistently over the last 40 years and is now the second largest equity market in South America behind that of Brazil. Using a recently available dataset for the most actively traded stocks, we examine the patterns of intraday volatility. We show that intraday volatility declines during the day with an accentuation at the end of trading for the stocks we examine. We document the necessity of an opening auction system for the market and justify the benefits of the proactive implementation of a closing call auction system by exchange regulators in February 2019. Showing evidence that periods of efficiency alternate with periods with lack thereof, we provide suggestions as to when different types of traders should participate during the trading session.