An Informational Cause to Intraday Patterns ? The Case of the Paris Bourse
(2001) 18th International AFFI Conference — Location: Namur
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- Authors
- Abstract
- (en) In this paper, we study the existence of an informational component to intraday patterns. The analysis of patterns according to several measures of the information flow reveals that those measures act on the patterns. We prove that an activity time has a small but significant decreasing influence on the return patterns. The impact on volatility is much more important. An activity time nearly wrecks the closing effect whereas it often increases the opening effect. This influence varies greatly with the index membership. The impact of the time measurement on the patterns proves that a part, at least, of the observed configurations is due to the information flow. Consequently, an calendar time is not the best choice to assess the return process as it aggregates the variations of the returns and of the information flow. The differential impact of the time measurement on the volatility patterns can be interpreted as a need of improvement of our proxies, as a variation in the mechanism of the information incorporation or, as an evidence of other causes.
- Affiliations
Louvain School of Management Accounting & Finance
Citations
Cellier, A. (2001). An Informational Cause to Intraday Patterns ? The Case of the Paris Bourse. 18th International AFFI Conference, Namur. https://hdl.handle.net/2078.5/129583