• Login
    View Item 
    •   Home
    • Research from April 2016
    • Accounting and finance
    • View Item
    •   Home
    • Research from April 2016
    • Accounting and finance
    • View Item
    JavaScript is disabled for your browser. Some features of this site may not work without it.

    Browse

    All of UOBREPCommunitiesTitleAuthorsIssue DateSubmit DateSubjectsPublisherJournalDepartmentThis CollectionTitleAuthorsIssue DateSubmit DateSubjectsPublisherJournalDepartment

    My Account

    LoginRegister

    About

    AboutLearning ResourcesResearch Graduate SchoolResearch InstitutesUniversity Website

    Statistics

    Display statistics

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

    • CSV
    • RefMan
    • EndNote
    • BibTex
    • RefWorks
    Thumbnail
    Name:
    Publisher version
    View Source
    Access full-text PDFOpen Access
    View Source
    Check access options
    Check access options
    Authors
    Balaban, Ercan
    Ozgen, Tolga
    Karidis, Socrates
    Affiliation
    University of Bedfordshire
    Craig Associates
    Coventry University London
    Issue Date
    2018-02-21
    Subjects
    statistical distributions of stock returns
    intraday effects
    interday effects
    risk-return relationship
    asymmetric time varying volatility
    L111 Financial Economics
    
    Metadata
    Show full item record
    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.
    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
    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
    ae974a485f413a2113503eed53cd6c53
    10.1016/j.physa.2018.02.116
    Scopus Count
    Collections
    Accounting and finance

    entitlement

     
    DSpace software (copyright © 2002 - 2023)  DuraSpace
    Quick Guide | Contact Us
    Open Repository is a service operated by 
    Atmire NV
     

    Export search results

    The export option will allow you to export the current search results of the entered query to a file. Different formats are available for download. To export the items, click on the button corresponding with the preferred download format.

    By default, clicking on the export buttons will result in a download of the allowed maximum amount of items.

    To select a subset of the search results, click "Selective Export" button and make a selection of the items you want to export. The amount of items that can be exported at once is similarly restricted as the full export.

    After making a selection, click one of the export format buttons. The amount of items that will be exported is indicated in the bubble next to export format.