Intraday volatility: evidence from the Euronext Lisbon equity market

Detalhes bibliográficos
Autor(a) principal: Soares, Sílvia Leal
Data de Publicação: 2009
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/9650
Resumo: A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics
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spelling Intraday volatility: evidence from the Euronext Lisbon equity marketIntraday volatilityAuction mechanismsPortuguese equity marketA Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and EconomicsDaily stock price volatility is found to be significanlty and frequently different whether measured via successive open or close prices. This induced different authors to the analysis of the volatility behaviour during the trading session in several important Stock Exchanges around the globe. This paper focuses on the analysis of the Portuguese case. The major finding is that intraday volatility tends to depict a U-shaped curve for the average variance of returns measured during the trading session. This has important implications for regulators and practioners since it suggests that prices discovered both at the opening and at the closing periods may not clearly reflect the market dynamics around these two moments. Few reasons are predicted for such misrepresentation. This analysis covers the main share index - PSI 20 - and three individual shares selected from different industrial sectors and with different levels of liquidity.NSBE - UNLCosta, José Carlos Rodrigues daRUNSoares, Sílvia Leal2013-05-17T13:00:20Z2009-062009-06-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/9650enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T03:42:55Zoai:run.unl.pt:10362/9650Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:18:57.836076Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Intraday volatility: evidence from the Euronext Lisbon equity market
title Intraday volatility: evidence from the Euronext Lisbon equity market
spellingShingle Intraday volatility: evidence from the Euronext Lisbon equity market
Soares, Sílvia Leal
Intraday volatility
Auction mechanisms
Portuguese equity market
title_short Intraday volatility: evidence from the Euronext Lisbon equity market
title_full Intraday volatility: evidence from the Euronext Lisbon equity market
title_fullStr Intraday volatility: evidence from the Euronext Lisbon equity market
title_full_unstemmed Intraday volatility: evidence from the Euronext Lisbon equity market
title_sort Intraday volatility: evidence from the Euronext Lisbon equity market
author Soares, Sílvia Leal
author_facet Soares, Sílvia Leal
author_role author
dc.contributor.none.fl_str_mv Costa, José Carlos Rodrigues da
RUN
dc.contributor.author.fl_str_mv Soares, Sílvia Leal
dc.subject.por.fl_str_mv Intraday volatility
Auction mechanisms
Portuguese equity market
topic Intraday volatility
Auction mechanisms
Portuguese equity market
description A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics
publishDate 2009
dc.date.none.fl_str_mv 2009-06
2009-06-01T00:00:00Z
2013-05-17T13:00:20Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/9650
url http://hdl.handle.net/10362/9650
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv NSBE - UNL
publisher.none.fl_str_mv NSBE - UNL
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
_version_ 1799137833918660608

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