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Day-End Effect On The Paris Bourse

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  • David Michayluk
  • Gary C. Sanger

Abstract

We study the day-end effect on the Paris Bourse, a computerized order-driven market with competing dealers. The day-end return is approximately double the magnitude found in U.S. data and is nearly four times larger for stocks trading with a registered dealer. However, this is largely explained by the time between trades and the bid-ask spread. Unlike the U.S. data, the effect does not decline as stock price increases, probably because of a variable tick size in the Paris market. Finally, a change to a closing call auction in May 1996 for a subset of stocks did not reduce the day-end effect. 2006 The Southern Finance Association and the Southwestern Finance Association.

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Bibliographic Info

Article provided by Southern Finance Association & Southwestern Finance Association in its journal Journal of Financial Research.

Volume (Year): 29 (2006)
Issue (Month): 1 ()
Pages: 131-146

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Handle: RePEc:bla:jfnres:v:29:y:2006:i:1:p:131-146

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Web page: http://www.southwesternfinance.org/
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Cited by:
  1. Yu Chuan Huang & Shu Hui Chan, 2010. "Trading Behavior on Expiration Days and Quarter-End Days: The Effect of a New Closing Method," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 46(4), pages 105-125, January.
  2. John F. Pinfold & Danyang He, 2012. "The impact of introducing a pre-close on the New Zealand share market," Journal of Financial Regulation and Compliance, Emerald Group Publishing, vol. 20(1), pages 99-110, February.
  3. Charles Cao & Oliver Hansch & Xiaoxin Wang, 2008. "Order Placement Strategies In A Pure Limit Order Book Market," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 31(2), pages 113-140.

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