Volatility and Price Discovery in Stock Markets (Paperback)

By 

Deniz Ozenbas

  (Author)
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  • Volatility and Price Discovery in Stock Markets

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
ISBN:

3639146220

EAN:

9783639146226

Publish Date: 2009-04-30
Binding: Paperback
Deliverable Countries: This product ships to United Arab Emirates, Australia, Belgium, Bahrain, Switzerland, China, Germany, Spain, Finland, France, Hong Kong, Indonesia, India, Japan, Kenya, Kuwait, Sri Lanka, Malaysia, Netherlands, New Zealand, Russia, Saudi Arabia, Singapore, Thailand, South Africa.

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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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