We analyze in this study investor trading behavior based not on information
related assumptions but on the search model of Vayanos and Wang (2007). Our study
shows that search cost dictates trading polarization across investors, firm size and
time of day. We find that individual investors prefer to trade at market open, while
institutional investors trade more heavily near market close. Trading costs indicate
that it is less costly for institutional investors to trade large cap stocks at market close
than at open. Search cost is related significantly to order-based market liquidity
measures depending on time of day, market capitalizations and investor type.