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L’effet d’intervalle sur le marché à terme de la bourse de Bruxelles

Author

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  • Natacha DEFRÈRE

    (Université de Liège)

Abstract

In this paper, we analyse the intervalling effect on the Brussels Forward Market. The empirical study is carried on nineteen Belgian stocks quoted on this Market from the introduction of the Computer Assisted Trading System (C.A.T.S.), beginning of 1989, until the 31st of December 1992. The existence of an intervalling effect on the Brussels Forward Market is highlighted, the estimated systematic risks depend on the length of the interval chosen to calculate the returns. As far as the Generalized AutoRegressive Conditional Heteroscedasticity (GARCH) model is concerned, the results show that the beta coefficients still depend on the differencing interval and do not perform better than the Ordinary Least Square estimated betas. Thus the intervalling effect doesn't seem to be due to conditional heteroscedasticity. It also appears that the Scholes and Williams' and the Dimson's models produce beta coefficients for a one-day interval which are closer to the asymptotic betas than the Ordinary Least Square estimated betas based on daily observations. We may therefore conclude that models such as Scholes and Williams' and Dimson's can "improve" the estimated beta coefficients.

Suggested Citation

  • Natacha DEFRÈRE, 1995. "L’effet d’intervalle sur le marché à terme de la bourse de Bruxelles," Discussion Papers (REL - Recherches Economiques de Louvain) 1995045, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    • Handle: RePEc:ctl:louvre:1995045
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    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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