Intra -day price volatility: A reflection of trading friction.
Item
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Title
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Intra -day price volatility: A reflection of trading friction.
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Identifier
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AAI3063866
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identifier
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3063866
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Creator
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Ozenbas, Deniz.
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Contributor
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Adviser: Robert A. Schwartz
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Date
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2002
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Language
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English
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Publisher
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City University of New York.
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Subject
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Economics, Finance
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Abstract
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The ability of an equity market to accommodate a series of trades and incorporate new information into stock prices with minimal price volatility is an important aspect of its quality. If price discovery is marked by price swings, runs and reversals, then short period (intra-day) volatility is heightened in the market. In this study, we use return series with various differencing intervals that are as short as half-hour and as long as two weeks to 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. In all these markets, we investigate the individual stocks that make up a major index during the calendar year 2000.;A variance-ratio statistic and market model tests are employed to investigate the quality of these five markets. Results confirm an intra-day reverse J-shaped pattern of half-hour volatility in these markets. (However, we are not able to find the same pattern in intra-day volume in all markets.) In addition, we 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 we extend our differencing interval to longer periods such as one-week or two-week returns.
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Type
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dissertation
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Source
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PQT Legacy CUNY.xlsx
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degree
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Ph.D.
