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Studies In Volatility, Nazli Sila Alan
Studies In Volatility, Nazli Sila Alan
Dissertations, Theses, and Capstone Projects
This dissertation consists of five chapters that focus on the price discovery role of equity markets and examine the evolution of intraday stock price volatility as a key measure of market quality. Using six differentiated measures of intraday volatility (that mostly focus on the opening half-hour of trading), all common stocks listed at three stock exchanges with varying levels of fragmentation are analyzed: NYSE and NASDAQ stocks over the period 1993-2012, and Istanbul Stock Exchange (ISE) stocks over the period 2000-2011.
The results on the evolution of intraday volatility presented in Chapters 2 and 3 indicate the following: In 1993, …