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Stock returns and volatility: Evidence from the Athens Stock market index

✍ Scribed by Nicholas Apergis; Sophia Eleptheriou


Book ID
110669790
Publisher
Springer US
Year
2001
Tongue
English
Weight
718 KB
Volume
25
Category
Article
ISSN
1055-0925

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Intraday dynamics of stock market return
✍ 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