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

Remzi Uctum, Patricia Renou-Maissant, Georges Prat () and Sylvie Lecarpentier-Moyal ()
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Patricia Renou-Maissant: CREM - Centre de recherche en économie et management - UNICAEN - Université de Caen Normandie - NU - Normandie Université - UR1 - Université de Rennes 1 - UNIV-RENNES - Université de Rennes - CNRS - Centre National de la Recherche Scientifique
Georges Prat: EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique, IPAG Business School - Chaire IPAG "Entreprise Inclusive" - IPAG Business School
Sylvie Lecarpentier-Moyal: ERUDITE - Equipe de Recherche sur l’Utilisation des Données Individuelles en lien avec la Théorie Economique - UPEC UP12 - Université Paris-Est Créteil Val-de-Marne - Paris 12 - UPEM - Université Paris-Est Marne-la-Vallée

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Abstract: We analyze the persistence effects in the empirical relationship between announcement releases and return volatilities of four major companies of the French stock market using high frequency data over the period 1995–1999. Besides its institutional stability, this sample period avoids the econometric difficulties inherent to simultaneous news arrivals. Our approach contributes to the relevant literature in that we focus on individual stock volatilities rather than indices, we distinguish firm-specific and macroeconomic announcements, and we endogenize both the durations of announcement effects and the response patterns of equity prices. We find that our individual volatilities are affected by a systematic market effect, calendar effects, announcements related to the firms' macroeconomic environment and announcements related to the firms' and their competitors' strategic dealings and commercial outcomes. We find evidence that all volatility responses are gradual with persistence horizons ranging from one to three hours, revealing a significant degree of inefficiency of the French stock market over the period. This inefficiency can be viewed as a breeding ground for the implementation of more performant informational and trading systems that allowed markets to move towards more efficiency.

Keywords: Intraday volatility; High frequency modelling; Persistence of announcement effects; Firm-specific stock returns (search for similar items in EconPapers)
Date: 2017-11
Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-02080313
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Published in Review of Financial Economics, Elsevier, 2017, 35, pp.43-56. ⟨10.1016/j.rfe.2017.03.001⟩

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