Photo Patricia Renou-Maissant

Patricia Renou-Maissant

Maître de conférences avec HDR
  • Email
  • Tél. professionnel 0140977598
  • Bureau à Paris Nanterre (Bât. + num.) G515
  • Research group

      Macroéconomie Internationale, Banque et Econométrie Financière

  • Theme(s)
    • Macroéconomie internationale
    • Economie de l'énergie
    • Economie monétaire et financière
    • Cycles économiques industriels et entrepreneuriaux

2013-36 "Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data"

Sylvie Lecarpentier-Moyal, Georges Prat, Patricia Renou-Maissant, Remzi Uctum

Show Download working paper (on EconPapers)

Abstract
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.
Classification-JEL
G14, C22, C58
Mot(s) clé(s)
Intraday volatility, long memory, persistence of announcement effects
File
load Please wait ...