Volatility and Price Discovery in Stock Markets (Paperback)


Deniz Ozenbas

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Volatility and Price Discovery in Stock Markets Book 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.

Book Details

Title: Volatility and Price Discovery in Stock Markets
Publisher: VDM Verlag
Author: Deniz Ozenbas
Edition: Paperback




Publish Date: 2009-04-30
Binding: Paperback
Deliverable Countries: This product ships to Restricted International (Books).

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The book Volatility and Price Discovery in Stock Markets by Deniz Ozenbas (author) is published or distributed by VDM Verlag [3639146220, 9783639146226]. This particular edition was published on or around 2009-04-30 date. Volatility and Price Discovery in Stock Markets is available for use in Paperback binding.
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