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Intraday Return Volatility Process: Evidence from NASDAQ Stocks

✍ Scribed by Shafiqur Rahman; Cheng-few Lee; Kian Ping Ang

Book ID
110398305
Publisher
Springer US
Year
2002
Tongue
English
Weight
130 KB
Volume
19
Category
Article
ISSN
0924-865X

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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