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Asymmetric Dynamics in Stock Market Volatility

✍ Scribed by Indika Karunanayake; Abbas Valadkhani

Book ID
118083737
Publisher
Economic Society of Australia
Year
2011
Tongue
English
Weight
156 KB
Volume
30
Category
Article
ISSN
0812-0439

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Intraday dynamics of stock market return
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✍ Faruk SelΓ§uk; Ramazan GenΓ§ay πŸ“‚ Article πŸ“… 2006 πŸ› Elsevier Science 🌐 English βš– 497 KB

This paper provides new empirical evidence for intraday scaling behavior of stock market returns utilizing a 5 min stock market index (the Dow Jones Industrial Average) from the New York Stock Exchange. It is shown that the return series has a multifractal nature during the day. In addition, we show