Volatility and Price Discovery in Stock Markets

Volatility and Price Discovery in Stock Markets (Paperback)

By Deniz Ozenbas 
Publisher: VDM Verlag
Edition: Paperback
ISBN: 3639146220
EAN: 9783639146226
No. of Units: 1
Publish Date: 2009-04-30
Binding: Paperback
Sold by Ingram
Ships in 5 - 7 Days. ( FREE Shipping in India )
Ships to Restricted International (Books).

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.
show moreless

Specification

Title: Volatility and Price Discovery in Stock Markets
Publisher: VDM Verlag
Author: Deniz Ozenbas
Edition: Paperback
ISBN: 3639146220
EAN: 9783639146226
No. of Units: 1
Publish Date: 2009-04-30
Binding: Paperback

Disclaimer

  • The book summary and image may be of a different edition or binding of the same title.
  • Book reviews are added by registered customers. They need not necessarily buy book.
  • These books are NOT available for reading online or for free download in PDF or ebook format.
  • Price can change due to reprinting, price change by publisher or sourcing cost change for imported books.
  • www.infibeam.com/Books is the biggest online bookstore in India for sale of books at best price - fiction, literature, audiobooks, study guides, novels, story books, rare books, textbooks and books by popular authors. These are available in various editions and bindings e.g. paperback and at best discount.

Where is my Order/ Shipment?

Great Value

Safe Payment

Shop With
Confidence

24/7 Help Center

Free & Easy Return

Get Discounts & Offers
Stay Connected
Copyright © 2007-2016 Infibeam.com and Affiliates