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Intraday volatility: evidence from the Euronext Lisbon equity market
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Autores
Orientador(es)
Resumo(s)
Daily stock price volatility is found to be significanlty and frequently different whether
measured via successive open or close prices. This induced different authors to the analysis of
the volatility behaviour during the trading session in several important Stock Exchanges around
the globe. This paper focuses on the analysis of the Portuguese case. The major finding is that
intraday volatility tends to depict a U-shaped curve for the average variance of returns measured
during the trading session. This has important implications for regulators and practioners since it
suggests that prices discovered both at the opening and at the closing periods may not clearly
reflect the market dynamics around these two moments. Few reasons are predicted for such
misrepresentation. This analysis covers the main share index - PSI 20 - and three individual
shares selected from different industrial sectors and with different levels of liquidity.
Descrição
A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics
Palavras-chave
Intraday volatility Auction mechanisms Portuguese equity market