The Distribution of Daily Stock Returns and Settlement Procedures: The Paris Bourse
AbstractIn many countries, settlements take place a fixed number of business days after the transaction (United States, Japan). In other countries, settlements take place periodically on a fixed date when all transactions performed before this date are settled (United Kingdom, France, Italy). In both cases, settlement procedures should cause returns not to be identically distributed over all days. The effect is likely to be the largest on markets where all trades are settled only once a month. An empirical investigation of the largest of those markets, the Paris Bourse, demonstrates the importance of the settlement procedure on the distribution of daily returns. Copyright 1990 by American Finance Association.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by American Finance Association in its journal Journal of Finance.
Volume (Year): 45 (1990)
Issue (Month): 5 (December)
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Foucault, Thierry & Themar, David & Sraer, David, 2008.
"Individual investors and volatility,"
Les Cahiers de Recherche
899, HEC Paris.
- Jose Ramón Martínez Resano & Liliana Toledo Falcón, 2002. "Futuros sobre acciones: demanda e implicaciones sobre los mercados de renta variable," Banco de Espaï¿½a Working Papers 0218, Banco de Espa�a.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.