Market Trend, Company Size and Microstructure Characteristics of Intraday Stock Price Formations
The 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
References listed on IDEAS
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- Harris, Lawrence, 1989. "A Day-End Transaction Price Anomaly," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(01), pages 29-45, March.
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- N. A. Niarchos & C. A. Alexakis, 2003. "Intraday stock price patterns in the Greek stock exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 13(1), pages 13-22.
- Nikitas Niarchos & Christos Alexakis, 1998. "Stock market prices, 'causality' and efficiency: evidence from the Athens stock exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 8(2), pages 167-174.
- Alexakis, Panayotis & Petrakis, Panayotis, 1991. "Analysing stock market behaviour in a small capital market," Journal of Banking & Finance, Elsevier, vol. 15(3), pages 471-483, June.
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