Market Trend, Company Size and Microstructure Characteristics of Intraday Stock Price Formations
AbstractThe purpose of this study is to investigate whether there are certain price patterns during the trading session in the Athens Stock Exchange (ASE). We investigate statistically the series of stock returns, the volatility of stock returns and trading volume. In our analysis we use data from two different time periods; a period of rising prices (“bull” market) and a period of declining stock prices (“bear” market). We also use different categories of shares i.e. blue chips, medium capitalization stocks and small capitalization stocks. Our results indicate that there exist specific intraday patterns. The explanation of the revealed patterns can be based on investor sentiment and stock market microstructure characteristics
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Bibliographic InfoArticle provided by European Research Studies Journal in its journal European Research Studies Journal.
Volume (Year): VI (2003)
Issue (Month): 1-2 (January - June)
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Web page: http://www.ersj.eu/
pattern; intraday; microstructure; regression;
Find related papers by JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
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