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| Author: | Gerety, M. Mulherin, J. |
| Title: | Price formation on stock exchanges: the evolution of trading within the day |
| Journal: | Review of Financial Studies
1994 : FALL, VOL. 7:3, p. 609-629 |
| Index terms: | STOCK EXCHANGES PRICES TRADE |
| Language: | eng |
| Abstract: | Prior analyses of prices of the NYSE and other exchanges find that transitory price volatility is greater at the open of trading than at the close. The authors extend this line of research by using 40 years of hourly Dow Jones 65 Composite price index data to estimate transitory volatility throughout the trading day. The results indicate that transitory volatility steadily declines during the trading day. A similar intraday decline has been found for a 2, 5-year sample of the individual firms in the Dow JOnes 30 Industrial Index. |
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