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Accentuated Intraday Stock Price Volatility: What is the Cause?

Deniz Ozenbas, Michael S. Pagano and Robert A. Schwartz
The Journal of Portfolio Management Spring 2010, 36 (3) 45-55; DOI: https://doi.org/10.3905/jpm.2010.36.3.045
Deniz Ozenbas
is an associate professor of finance in the School of Business at Montclair State University in Montclair, NJ.
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  • For correspondence: ozenbasd@mail.montclair.edu
Michael S. Pagano
is a professor of finance at Villanova University in Villanova, PA.
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  • For correspondence: michael.pagano@villanova.edu
Robert A. Schwartz
is the Marvin M. Speiser professor of finance in the Zicklin School of Business at Baruch College, CUNY in New York, NY.
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  • For correspondence: robert.schwartz@baruch.cuny.edu
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Abstract

In equity markets, the opening and closing of trading are particularly stressful periods. Ozenbas, Pagano, and Schwartz investigate the quality of price determination at these times (compared to midday periods) for large-, mid-, and smallcapitalization stocks on the NYSE, NASDAQ, and London Stock Exchange. Using three different metrics, they consistently find lower quality at both the open and the close.The deterioration of market quality at openings is greatest for large-cap stocks, but no systematic association with cap size is observed at the close. Large-cap stocks evidently lead smaller-cap stocks in finding new equilibrium values, and accentuated volatility at the open is in large part attributable to the complexities of price discovery.

TOPICS: In markets, VAR and use of alternative risk measures of trading risk, volatility measures

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The Journal of Portfolio Management: 36 (3)
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Accentuated Intraday Stock Price Volatility: What is the Cause?
Deniz Ozenbas, Michael S. Pagano, Robert A. Schwartz
The Journal of Portfolio Management Apr 2010, 36 (3) 45-55; DOI: 10.3905/jpm.2010.36.3.045

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Accentuated Intraday Stock Price Volatility: What is the Cause?
Deniz Ozenbas, Michael S. Pagano, Robert A. Schwartz
The Journal of Portfolio Management Apr 2010, 36 (3) 45-55; DOI: 10.3905/jpm.2010.36.3.045
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