Accentuated Intraday Stock Price Volatility What is the Cause?

In equity markets, the opening and closing of trading are particularly stressful periods. Ozenbas, Pagano, and Schwartz investigate the quality of price determination at these times (compared to midday periods) for large-, mid-, and smallcapitalization stocks on the NYSE, NASDAQ, and London Stock Ex...

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Journal Title: The Journal of Portfolio Management Vol. 36; no. 3
Authors: Robert A. Schwartz, Michael S. Pagano, Deniz Ozenbas
Format: Article
Published: 2010-02-03