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Pré-Publication, Document De Travail Année : 2013

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

Sylvie Lecarpentier-Moyal
  • Fonction : Auteur
  • PersonId : 995596
Georges Prat
  • Fonction : Auteur
  • PersonId : 1016636
Patricia Renou-Maissant
  • Fonction : Auteur
  • PersonId : 1054797
Remzi Uctum

Résumé

We analyze the empirical relationship between announcement effects and return volatilities of four CAC40 companies using intraday financial and event data from SBF-Euronext and Bloomberg, respectively. We estimate the daily component of the intraday volatility using a FIGARCH model and the intraday seasonality by the Fourier Flexible Form. We find that individual return volatilities are affected by a systematic market effect, day effects and announcements related to macroeconomic environment, strategic and financial dealings and commercial outcome, the two latter events being specific to the firm or to its competitors. The volatility responses have delayed and progressive patterns with persistence horizons ranging from one to three hours, suggesting that agents access to complete information gradually.
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Dates et versions

hal-04141172 , version 1 (26-06-2023)

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  • HAL Id : hal-04141172 , version 1

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Sylvie Lecarpentier-Moyal, Georges Prat, Patricia Renou-Maissant, Remzi Uctum. Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data. 2013. ⟨hal-04141172⟩
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