Bookcover of Volatility and Price Discovery in Stock Markets
Booktitle:

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

VDM Verlag Dr. Müller (2009-04-24 )

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ISBN-13:

978-3-639-14622-6

ISBN-10:
3639146220
EAN:
9783639146226
Book language:
English
Blurb/Shorttext:
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.
Publishing house:
VDM Verlag Dr. Müller
Website:
http://www.vdm-verlag.de
By (author) :
Deniz Ozenbas
Number of pages:
132
Published on:
2009-04-24
Stock:
Available
Category:
Economics
Price:
59.00 €
Keywords:
Volatility, STOCK MARKETS, Price Discovery, Market Quality, International Markets

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