Nonstationarity of the intraday individual and collective seasonalities of price fluctuations

Sílvio M. Duarte Queirós and Michelle B. Graczyk

Journal of Network Theory in Finance

Abstract: Following our results on the nonstationarity of intraday seasonalities in trading volume, published in “Intraday seasonalities and nonstationarity of trading volume in financial markets: individual and cross-sectional features†by M. B. Graczyk and S. M. Duarte Queirós (2016), we apply a similar analysis to the price fluctuations of the companies that compose the Dow Jones Industrial Average. We consider the ten-year span between 2004 and 2013 and split it into contiguous semesters. In doing so, we identify changes in the individual and collective intraday seasonal behavior of the stocks, which we assign to a natural evolution of the markets as well as episodes such as the modifications to the “uptick rule†in 2007, the subprime crisis apogee in the second semester of 2008 and the sovereign debt crisis in 2011. Ultimately, some of our results can be used on a long-term investment basis (risk assessment and portfolio management) as analytical criteria to signal the emergence of volatile periods.

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