Intraday and interday distribution of stock returns and their asymmetric conditional volatility: firm-level evidence

2.50
Hdl Handle:
http://hdl.handle.net/10547/623571
Title:
Intraday and interday distribution of stock returns and their asymmetric conditional volatility: firm-level evidence
Authors:
Balaban, Ercan; Ozgen, Tolga; Karidis, Socrates
Abstract:
This paper is a pioneering effort to jointly analyze the intraday and interday distribution of stock returns and their asymmetric time varying volatility using firm level data from an emerging stock market, namely, the Bourse Istanbul. The joint intraday and interday distribution analysis is based on the two trading sessions with a two-hour lunch break and the trading days of week. The asymmetric time varying volatility is based on the Threshold Generalized Autoregressive Conditional Heteroscedasticity-in-Mean [TGARCH(1,1)-M] model with systematic risk entering the return generating process. This is a unique framework to simultaneously test (i) the weak-form informational efficiency, (ii) the conditional total risk-return relationship and the systematic risk effects, and (iii) volatility persistence and asymmetry in volatility. The firm level intraday data sets are used for the period 1995 to 2015. Firstly, a strong result can be pronounced for a positive return effect for the second trading session of Thursdays followed by the second session of Fridays. The first session of Wednesdays is more associated with a stock price decline. The volatility is the highest in the second session of Mondays. Although the second session of Thursdays sees a volatility increase referring to a positive risk-return relationship, Fridays do not have any significant volatility increase. This can be seen as a true anomaly where we could observe higher returns with lower volatility. Secondly, it can be concluded that only the systematic risk is priced for the great majority of the selected firms. In addition, we cannot observe a significant asymmetry in the volatility in most cases. Finally, it is found that the financial companies have a significantly higher systematic risk than the industrial companies.
Affiliation:
University of Bedfordshire; Craig Associates; Coventry University London
Citation:
Balaban E, Ozgen T, Karidis S (2018) 'Intraday and interday distribution of stock returns and their asymmetric conditional volatility: firm-level evidence', Physica A: Statistical Mechanics and its Applications, 50, pp.905-915.
Publisher:
Elsevier
Journal:
Physica A: Statistical Mechanics and its Applications
Issue Date:
21-Feb-2018
URI:
http://hdl.handle.net/10547/623571
DOI:
10.1016/j.physa.2018.02.116
Additional Links:
https://www.sciencedirect.com/science/article/pii/S0378437118302115?via=ihub
Type:
Article
Language:
en
ISSN:
0378-4371
Appears in Collections:
Accounting and finance

Full metadata record

DC FieldValue Language
dc.contributor.authorBalaban, Ercanen
dc.contributor.authorOzgen, Tolgaen
dc.contributor.authorKaridis, Socratesen
dc.date.accessioned2019-11-08T12:44:10Z-
dc.date.available2019-11-08T12:44:10Z-
dc.date.issued2018-02-21-
dc.identifier.citationBalaban E, Ozgen T, Karidis S (2018) 'Intraday and interday distribution of stock returns and their asymmetric conditional volatility: firm-level evidence', Physica A: Statistical Mechanics and its Applications, 50, pp.905-915.en
dc.identifier.issn0378-4371-
dc.identifier.doi10.1016/j.physa.2018.02.116-
dc.identifier.urihttp://hdl.handle.net/10547/623571-
dc.description.abstractThis paper is a pioneering effort to jointly analyze the intraday and interday distribution of stock returns and their asymmetric time varying volatility using firm level data from an emerging stock market, namely, the Bourse Istanbul. The joint intraday and interday distribution analysis is based on the two trading sessions with a two-hour lunch break and the trading days of week. The asymmetric time varying volatility is based on the Threshold Generalized Autoregressive Conditional Heteroscedasticity-in-Mean [TGARCH(1,1)-M] model with systematic risk entering the return generating process. This is a unique framework to simultaneously test (i) the weak-form informational efficiency, (ii) the conditional total risk-return relationship and the systematic risk effects, and (iii) volatility persistence and asymmetry in volatility. The firm level intraday data sets are used for the period 1995 to 2015. Firstly, a strong result can be pronounced for a positive return effect for the second trading session of Thursdays followed by the second session of Fridays. The first session of Wednesdays is more associated with a stock price decline. The volatility is the highest in the second session of Mondays. Although the second session of Thursdays sees a volatility increase referring to a positive risk-return relationship, Fridays do not have any significant volatility increase. This can be seen as a true anomaly where we could observe higher returns with lower volatility. Secondly, it can be concluded that only the systematic risk is priced for the great majority of the selected firms. In addition, we cannot observe a significant asymmetry in the volatility in most cases. Finally, it is found that the financial companies have a significantly higher systematic risk than the industrial companies.en
dc.language.isoenen
dc.publisherElsevieren
dc.relation.urlhttps://www.sciencedirect.com/science/article/pii/S0378437118302115?via=ihuben
dc.rightsGreen - can archive pre-print and post-print or publisher's version/PDF-
dc.subjectstatistical distributions of stock returnsen
dc.subjectintraday effectsen
dc.subjectinterday effectsen
dc.subjectrisk-return relationshipen
dc.subjectasymmetric time varying volatilityen
dc.subjectL111 Financial Economicsen
dc.titleIntraday and interday distribution of stock returns and their asymmetric conditional volatility: firm-level evidenceen
dc.typeArticleen
dc.contributor.departmentUniversity of Bedfordshireen
dc.contributor.departmentCraig Associatesen
dc.contributor.departmentCoventry University Londonen
dc.identifier.journalPhysica A: Statistical Mechanics and its Applicationsen
dc.date.updated2019-11-08T12:40:32Z-
dc.description.noteHi, if this article is to be eligible for REF then we need a full text file attached, this can't be the final published pdf but can be the post-print (ie final draft post-refereeing, before publisher's formatting applied) 26/03/2018 Still not supplied by researcher and now long past 3 months from publication. Passing metadata only. 7/11/19-
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