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Contribution Details
| Type | Journal Article |
| Scope | Discipline-based scholarship |
| Title | Intraday dynamics of stock market returns and volatility |
| Organization Unit | |
| Authors |
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| Item Subtype | Original Work |
| Refereed | Yes |
| Status | Published in final form |
| Language |
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| Journal Title | Physica A: Statistical Mechanics and its Applications |
| Publisher | Elsevier |
| Geographical Reach | international |
| ISSN | 0378-4371 |
| Volume | 367 |
| Page Range | 375 - 387 |
| Date | 2006 |
| Abstract Text | 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. |
| Digital Object Identifier | 10.1016/j.physa.2005.12.019 |
| Other Identification Number | merlin-id:5974 |
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