Intraday effects are best exposed by reading Harris’s seminal 1986 paper.
HARRIS, Lawrence, 1986. A transaction data study of weekly and intradaily patterns in stock returns, Journal of Financial Economics, Volume 16, Issue 1, May 1986, Pages 99-117. [Cited by 184] (9.06/year)
Abstract: "Weekly and intradaily patterns in common stock prices are examined using transaction data. For large firms, negative Monday close-to-close returns accrue between the Friday close and the Monday open; for smaller firms they accrue primarily during the Monday trading day. For all firms, significant weekday differences in intraday returns accrue during the first 45 minutes after the market opens. On Monday mornings, prices drop, while on the other weekday mornings, they rise. Otherwise the pattern of intraday returns is similar on all weekdays. Most notable is an increase in prices on the last trade of the day."
HARRIS, L., 1989. A Day-End Transaction Price Anomaly, The Journal of Financial and Quantitative Analysis, Vol. 24, No. 1. (Mar., 1989), pp. 29-45. [Cited by 57] (3.30/year)
Abstract: "A large mean price change is observed on the last daily NYSE transaction. This suggests that closing prices may not consistently represent stock values. Transaction prices are studied to further characterize the day-end price rise and to determine whether it is due to any limited subsample of stocks or dates. The results indicate that the phenomenon is pervasive over most firms and days. Some evidence suggests that it is caused by a change in the frequency of ask prices at day-end."
SMIRLOCK, Michael and Laura STARKS, 1985. Day-of-the-week and intraday effects in stock returns. Journal of Financial Economics, Volume 17, Issue 1, September 1986, Pages 197-210. [Cited by 51] (2.39/year)
Abstract: "This study examines day-of-the-week effects using hourly values of the Dow Jones Industrial Average. We find that over the 1963–1983 period the weekend effect has sifted from characterizing active trading on Monday to characterizing the non-trading weekend. Over the early part of our sample period negative returns characterize each hour of trading on Monday, while the return from Friday close to Monday open is positive. In the most recent subperiod, Monday average hourly returns after noon are all positive and the weekend effect is due to negative average returns from Friday close to Monday open."
HARRIS, L., 1986. How to profit from intradaily stock returns. Journal of Portfolio Management. [Cited by 4] (0.20/year)
YUANCHEN, C. and S.J. TAYLOR, 1998. Intraday effects of foreign exchange intervention by the Bank of Japan. Journal of International Money and Finance. [Cited by 1] (0.12/year)
CHANG, Y. and S. TARLOR, 1998. Intraday effects of central bank intervention by the bank of Japan. Journal of International Money and Finance. [Cited by 1] (0.12/year)
HARRIS, L., 1986. A transactions data study of weekly and intradaily patterns in stock prices. Journal of Financial Economics. [Cited by 2] (0.10/year)
MCINISH, T., Wood. R, 1992, An Analysis of Intradaily Patterns in Bid/Bsk Spreads of NYSE Stocks. J. of Fin. [Cited by 1] (?/year)