Using return series with various differencing intervals that are as
short as half-hour and as long as two weeks, I investigate the
short-term volatility accentuation in five equity markets: the
Nasdaq Stock Market and the New York Stock Exchange in the US, and
the London Stock Exchange, Deutsche Boerse and Euronext Paris in
Europe. Results confirm an intra-day reverse J-shaped pattern of
half-hour volatility in these markets. In addition, I find evidence
of an intra-week pattern in volatility with higher volatility on
Monday opening periods and Friday closing periods. The evidence
also suggests an accentuation of volatility during longer periods,
such as 24-hour intervals. This accentuation appears to subside
when I extend the differencing interval to longer periods such as
one-week or two-week returns. Findings indicate price discovery
errors especially at shorter differencing intervals.
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