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Using return series with various differencing
intervals that are as short as half-hour and as long
as two weeks, I investigate the short-term
volatility accentuation in five equity markets: the
Nasdaq Stock Market and the New York Stock Exchange
in the US, and the London Stock Exchange, Deutsche
Boerse and Euronext Paris in Europe.
Results confirm an intra-day reverse J-shaped
pattern of half-hour volatility in these markets. In
addition, I find evidence of an intra-week pattern
in volatility with higher volatility on Monday
opening periods and Friday closing periods. The
evidence also suggests an accentuation of volatility
during longer periods, such as 24-hour intervals.
This accentuation appears to subside when I extend
the differencing interval to longer periods such as
one-week or two-week returns. Findings indicate
price discovery errors especially at shorter
differencing intervals.
intervals that are as short as half-hour and as long
as two weeks, I investigate the short-term
volatility accentuation in five equity markets: the
Nasdaq Stock Market and the New York Stock Exchange
in the US, and the London Stock Exchange, Deutsche
Boerse and Euronext Paris in Europe.
Results confirm an intra-day reverse J-shaped
pattern of half-hour volatility in these markets. In
addition, I find evidence of an intra-week pattern
in volatility with higher volatility on Monday
opening periods and Friday closing periods. The
evidence also suggests an accentuation of volatility
during longer periods, such as 24-hour intervals.
This accentuation appears to subside when I extend
the differencing interval to longer periods such as
one-week or two-week returns. Findings indicate
price discovery errors especially at shorter
differencing intervals.