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Intraday dynamics of stock market returns and volatility

✍ Scribed by Faruk Selçuk; Ramazan Gençay

Publisher
Elsevier Science
Year
2006
Tongue
English
Weight
497 KB
Volume
367
Category
Article
ISSN
0378-4371

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✦ Synopsis

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 that after a financial ''earthquake'', aftershocks in the market follow a power law, analogous to Omori's law. Our findings indicate that the moments of the return distribution scale nonlinearly across time scales and accordingly, volatility scaling is nonlinear under such a data generating mechanism.

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