Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data

Sylvie Lecarpentier-Moyal, Georges Prat, Patricia Renou-Maissant and Remzi Uctum

No 2013-36, EconomiX Working Papers from University of Paris Nanterre, EconomiX

Abstract: We analyze the empirical relationship between announcement effects and return volatilities of four CAC40 companies using intraday financial and event data from SBF-Euronext and Bloomberg, respectively. We estimate the daily component of the intraday volatility using a FIGARCH model and the intraday seasonality by the Fourier Flexible Form. We find that individual return volatilities are affected by a systematic market effect, day effects and announcements related to macroeconomic environment, strategic and financial dealings and commercial outcome, the two latter events being specific to the firm or to its competitors. The volatility responses have delayed and progressive patterns with persistence horizons ranging from one to three hours, suggesting that agents access to complete information gradually.

Keywords: Intraday volatility; long memory; persistence of announcement effects (search for similar items in EconPapers)
JEL-codes: C22 C58 G14 (search for similar items in EconPapers)
Pages: 32 pages
Date: 2013
New Economics Papers: this item is included in nep-mst
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Citations: View citations in EconPapers (4)

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Related works:
Journal Article: Persistence of announcement effects on the intraday volatility of stock returns: Evidence from individual data (2017)
Journal Article: Persistence of announcement effects on the intraday volatility of stock returns: Evidence from individual data (2017)
Working Paper: Persistence of announcement effects on the intraday volatility of stock returns: Evidence from individual data (2017)
Working Paper: Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data (2014)
Working Paper: Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data (2014)
Working Paper: Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data (2013)
Working Paper: Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data (2013)
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