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Intraday dynamics of stock market returns and volatility


Gençay, Ramazan; Selçuk, Faruk (2006). Intraday dynamics of stock market returns and volatility. Physica A: Statistical Mechanics and its Applications, 367:375-387.

Abstract

This paper provides new empirical evidence for intraday scaling behavior of stock market returns utilizing a 5 min stock market index (the Dow Jones Industrial Average) from the New York Stock Exchange. It is shown that the return series has a multifractal nature during the day. In addition, we show that after a financial “earthquake”, aftershocks in the market follow a power law, analogous to Omori's law. Our findings indicate that the moments of the return distribution scale nonlinearly across time scales and accordingly, volatility scaling is nonlinear under such a data generating mechanism.

Abstract

This paper provides new empirical evidence for intraday scaling behavior of stock market returns utilizing a 5 min stock market index (the Dow Jones Industrial Average) from the New York Stock Exchange. It is shown that the return series has a multifractal nature during the day. In addition, we show that after a financial “earthquake”, aftershocks in the market follow a power law, analogous to Omori's law. Our findings indicate that the moments of the return distribution scale nonlinearly across time scales and accordingly, volatility scaling is nonlinear under such a data generating mechanism.

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Additional indexing

Item Type:Journal Article, refereed, original work
Communities & Collections:03 Faculty of Economics > Department of Banking and Finance
Dewey Decimal Classification:330 Economics
Scopus Subject Areas:Physical Sciences > Statistical and Nonlinear Physics
Physical Sciences > Statistics and Probability
Scope:Discipline-based scholarship (basic research)
Language:English
Date:15 July 2006
Deposited On:23 Aug 2023 13:39
Last Modified:29 Jun 2024 01:38
Publisher:Elsevier
ISSN:0378-4371
OA Status:Green
Publisher DOI:https://doi.org/10.1016/j.physa.2005.12.019
Other Identification Number:merlin-id:5974
  • Content: Published Version
  • Language: English