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Volatility pp 111-126 | Cite as

Accentuated Intraday Stock Price Volatility

  • Deniz Ozenbas
  • Michael S. Pagano
  • Robert A. Schwartz
Conference paper
Part of the Zicklin School of Business Financial Markets Series book series (CUNY)

Abstract

For a simple reason, intra-day volatility is important not only to traders with very short holding periods, but to longer term investors as well: volatility in brief time intervals is a manifestation of the efficiency with which prices are set, and inefficient pricing can lead to unduly high execution costs for the short -run trader and the longer-run investor alike. While short period, intraday volatility has been observed to be high, the reason for its accentuation has not been adequately understood.

Keywords

Price Discovery Market Quality London Stock Exchange Normalize Volatility Intraday Volatility 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer US 2011

Authors and Affiliations

  • Deniz Ozenbas
    • 1
  • Michael S. Pagano
    • 2
  • Robert A. Schwartz
    • 3
  1. 1.Montclair State UniversityMontclairUSA
  2. 2.Villanova UniversityVillanovaUSA
  3. 3.Baruch College, CUNYNew YorkUSA

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