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Volatility and Price Discovery in Stock Markets
An Intra-day Analysis of the New York Stock Exchange, Nasdaq Stock Market, London Stock Exchange, Euronext Paris and Deutsche Boerse
Deniz Ozenbas
Livre broché | Anglais
86,45 €
+ 172 points
Description
Using return series with various differencing intervals that are as short as half-hour and as long as two weeks, I investigate the short-term volatility accentuation in five equity markets: the Nasdaq Stock Market and the New York Stock Exchange in the US, and the London Stock Exchange, Deutsche Boerse and Euronext Paris in Europe. Results confirm an intra-day reverse J-shaped pattern of half-hour volatility in these markets. In addition, I find evidence of an intra-week pattern in volatility with higher volatility on Monday opening periods and Friday closing periods. The evidence also suggests an accentuation of volatility during longer periods, such as 24-hour intervals. This accentuation appears to subside when I extend the differencing interval to longer periods such as one-week or two-week returns. Findings indicate price discovery errors especially at shorter differencing intervals.
Spécifications
Parties prenantes
- Auteur(s) :
- Editeur:
Contenu
- Nombre de pages :
- 132
- Langue:
- Anglais
Caractéristiques
- EAN:
- 9783639146226
- Date de parution :
- 24-04-09
- Format:
- Livre broché
- Format numérique:
- Trade paperback (VS)
- Dimensions :
- 152 mm x 229 mm
- Poids :
- 204 g
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