Ανάλυση της ενδοσυνεδριακής μεταβλητότητας των τιμών των μετοχών
SubjectΜετοχές -- Τιμές ; Μετοχές -- Στατιστικές μέθοδοι ; Stock price forecasting -- Mathematical models
This study examines intra-day volatility for the stock markets of Athens, Frankfurt and New York, by analyzing data of the corresponding indices: General Index (GI), DAX and Dow Jones. After utilizing 5 minutes intervals of the periods September – December of 2008 and 2009, we observed a U shaped intra-day volatility pattern for DJ and an L-shaped one for DAX and GI. The results indicate a sharp spike in the first 30 minutes and some weaker spikes for the rest of the session. Moreover, the influence of the New York stock market to the European markets of the sample was dominant. At the same time, GI and DAX exhibited a significantly positive correlation, particularly in last quarter of 2008. Finally, volatility of returns was unusually high in 2008, obviously due to the prevailing global financial crisis.