Market Trend, Company Size and Microstructure Characteristics of Intraday Stock Price Formations

Christos Alexakis and Xanthakis E.

European Research Studies Journal, 2003, vol. VI, issue 1-2, 81-96

Abstract: The purpose of this study is to investigate whether there are certain price patterns during the trading session in the Athens Stock Exchange (ASE). We investigate statistically the series of stock returns, the volatility of stock returns and trading volume. In our analysis we use data from two different time periods; a period of rising prices (“bull” market) and a period of declining stock prices (“bear” market). We also use different categories of shares i.e. blue chips, medium capitalization stocks and small capitalization stocks. Our results indicate that there exist specific intraday patterns. The explanation of the revealed patterns can be based on investor sentiment and stock market microstructure characteristics

Keywords: pattern; intraday; microstructure; regression (search for similar items in EconPapers)
JEL-codes: G14 (search for similar items in EconPapers)
Date: 2003
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.ersj.eu/repec/ers/papers/03_12_p6.pdf (application/pdf)

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:ers:journl:v:vi:y:2003:i:1-2:p:81-96

Access Statistics for this article

More articles in European Research Studies Journal from European Research Studies Journal
Bibliographic data for series maintained by Marios Agiomavritis ().