The Distribution of Daily Stock Returns and Settlement Procedures: The Paris Bourse

Bruno Solnik

Journal of Finance, 1990, vol. 45, issue 5, 1601-09

Abstract: In many countries, settlements take place a fixed number of business days after the transaction (United States, Japan). In other countries, settlements take place periodically on a fixed date when all transactions performed before this date are settled (United Kingdom, France, Italy). In both cases, settlement procedures should cause returns not to be identically distributed over all days. The effect is likely to be the largest on markets where all trades are settled only once a month. An empirical investigation of the largest of those markets, the Paris Bourse, demonstrates the importance of the settlement procedure on the distribution of daily returns. Copyright 1990 by American Finance Association.

Date: 1990
References: Add references at CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://links.jstor.org/sici?sici=0022-1082%2819901 ... O%3B2-9&origin=repec full text (application/pdf)
Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jfinan:v:45:y:1990:i:5:p:1601-09

Ordering information: This journal article can be ordered from
http://www.afajof.org/membership/join.asp

Access Statistics for this article

More articles in Journal of Finance from American Finance Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().