Document Type
Article
Publication Date
3-1-2010
Journal / Book Title
The Journal of Portfolio Management
Abstract
In equity markets, the opening and closing of trading are particularly stressful periods. Ozenbas, Pagano, and Schwartz investigate the quality of price determination at these times (compared to midday periods) for large-, mid-, and smallcapitalization stocks on the NYSE, NASDAQ, and London Stock Exchange. Using three different metrics, they consistently find lower quality at both the open and the close.The deterioration of market quality at openings is greatest for large-cap stocks, but no systematic association with cap size is observed at the close. Large-cap stocks evidently lead smaller-cap stocks in finding new equilibrium values, and accentuated volatility at the open is in large part attributable to the complexities of price discovery.
DOI
10.3905/JPM.2010.36.3.045
MSU Digital Commons Citation
Ozenbas, Deniz; Pagano, Michael S.; and Schwartz, Robert A., "Accentuated Intraday Stock Price Volatility: What Is the Cause?" (2010). Department of Accounting and Finance Faculty Scholarship and Creative Works. 22.
https://digitalcommons.montclair.edu/acctg-finance-facpubs/22
Published Citation
Ozenbas, D., Pagano, M. S., & Schwartz, R. A. (2010). Accentuated intraday stock price volatility: what is the cause?. The Journal of Portfolio Management, 36(3), 45-55.