Analysis of Intra-Day Volatility under Economic Crisis Conditions

Michalis Glezakos, Konstantinos Vafiadis, John Mylonakis

Abstract


The purpose of this paper is to examine intra-day volatility of the Athens (GI), Frankfurt (DAX) and New York (DJ) Stock Markets under conditions of economic crisis. After utilizing 5 minutes intervals of the periods September – December of 2008 and 2009, a U-shaped intra-day volatility pattern was observed for DJ and an L-shaped one for DAX and GI. The results indicate a sharp spike in the first 30 minutes and some weaker spikes for the rest of the trading. Moreover, the influence of the New York Stock market to the European markets was dominant. At the same time, GI and DAX exhibited a significantly positive correlation, particularly in last quarter of 2008. Finally, volatility of returns was unusually high in 2008, obviously due to the prevailing global financial crisis.


Full Text: PDF DOI: 10.5539/ijef.v3n4p60

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This work is licensed under a Creative Commons Attribution 3.0 License.

International Journal of Economics and Finance  ISSN  1916-971X (Print) ISSN  1916-9728 (Online)

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