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Public information arrival and volatility of intraday stock returns

✍ Scribed by Petko S. Kalev; Wai-Man Liu; Peter K. Pham; Elvis Jarnecic

Book ID
117528631
Publisher
Elsevier Science
Year
2004
Tongue
English
Weight
299 KB
Volume
28
Category
Article
ISSN
0378-4266

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Intraday dynamics of stock market return
Intraday dynamics of stock market returns and volatility
✍ 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