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
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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...
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.
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.
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