کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
10477637 | 930503 | 2005 | 18 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Intradaily volatility and adjustment
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Intradaily volatility and adjustment Intradaily volatility and adjustment](/preview/png/10477637.png)
چکیده انگلیسی
Intradaily volatility is related to the speed of adjustment of prices towards their intrinsic values. The decomposition of volatility into intrinsic and noise related components is demonstrated to be impacted by speeds of adjustment. Intradaily speeds of adjustment are estimated for U.K. index data and some empirical evidence of overreaction at the open and underreaction at the close of the trading day found for the FTSE100 index. The major result that we report in this paper is that differential intradaily volatilities at the index level are related to differential speeds of adjustment, thus providing insights into the similar results reported in U.S. index studies, such as [Gerety, M., Mulherin, J., 1994. Price formation on stock exchanges: the evolution of trading within the day. The Review of Financial Studies 7, 609-629].
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Financial Markets, Institutions and Money - Volume 15, Issue 5, December 2005, Pages 407-424
Journal: Journal of International Financial Markets, Institutions and Money - Volume 15, Issue 5, December 2005, Pages 407-424
نویسندگان
Michael Theobald, Peter Yallup,