Intraday dynamics of stock market returns and volatility
| dc.citation.epage | 387 | en_US |
| dc.citation.spage | 375 | en_US |
| dc.citation.volumeNumber | 367 | en_US |
| dc.contributor.author | Selçuk, F. | en_US |
| dc.contributor.author | Gençay, R. | en_US |
| dc.date.accessioned | 2016-02-08T10:18:44Z | |
| dc.date.available | 2016-02-08T10:18:44Z | |
| dc.date.issued | 2006 | en_US |
| dc.department | Department of Economics | en_US |
| dc.description.abstract | 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 that after a financial "earthquake", aftershocks in the market follow a power law, analogous to Omori's law. Our findings indicate that the moments of the return distribution scale nonlinearly across time scales and accordingly, volatility scaling is nonlinear under such a data generating mechanism. © 2006 Elsevier B.V. All rights reserved. | en_US |
| dc.description.provenance | Made available in DSpace on 2016-02-08T10:18:44Z (GMT). No. of bitstreams: 1 bilkent-research-paper.pdf: 70227 bytes, checksum: 26e812c6f5156f83f0e77b261a471b5a (MD5) Previous issue date: 2006 | en |
| dc.identifier.doi | 10.1016/j.physa.2005.12.019 | en_US |
| dc.identifier.eissn | 1873-2119 | |
| dc.identifier.issn | 0378-4371 | |
| dc.identifier.uri | http://hdl.handle.net/11693/23760 | |
| dc.language.iso | English | en_US |
| dc.publisher | Elsevier BV | en_US |
| dc.relation.isversionof | http://dx.doi.org/10.1016/j.physa.2005.12.019 | en_US |
| dc.source.title | Physica A : Statistical Mechanics and its Applications | en_US |
| dc.subject | Intraday return | en_US |
| dc.subject | Intraday volatility | en_US |
| dc.subject | Multifractals | en_US |
| dc.subject | Omori's law | en_US |
| dc.subject | Pivotal statistics | en_US |
| dc.subject | Scaling | en_US |
| dc.subject | Self-similarity | en_US |
| dc.subject | Control nonlinearities | en_US |
| dc.subject | Data reduction | en_US |
| dc.subject | Fractals | en_US |
| dc.subject | Marketing | en_US |
| dc.subject | Statistical mechanics | en_US |
| dc.subject | Inventory control | en_US |
| dc.title | Intraday dynamics of stock market returns and volatility | en_US |
| dc.type | Article | en_US |
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