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Volatility and Price Discovery in Stock Markets
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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.
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