Accentuated intraday stock price volatility: What is the cause?

Deniz Ozenbas, Michael S. Pagano, Robert A. Schwartz

Research output: Contribution to journalArticle

5 Scopus citations

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.

Original languageEnglish
Pages (from-to)45-55
Number of pages11
JournalJournal of Portfolio Management
Volume36
Issue number3
DOIs
StatePublished - 1 Mar 2010

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