IDEAS home Printed from https://ideas.repec.org/a/taf/apfiec/v18y2008i18p1475-1480.html
   My bibliography  Save this article

Intraday stock returns and performance of a simple market model

Author

Listed:
  • Elvan Aktas

Abstract

With enhancements in information technology, increased institutional and automated trading, and previously unmatched availability of online trading grew the attention to intraday movements of security prices and tests associated with them. This study analyses the properties of both observed 5-minute stock returns and of excess returns obtained by using a variety of alternative models common to event studies. Using observed 5-minute returns, various event study methodologies are simulated and repeatedly applied to samples which have been created by random selection of securities and random assignment of event dates to each security. The study examines the probability of rejecting the null hypothesis of no average abnormal performance when it is true and the probability of detecting a given abnormal performance, which is introduced to the data at the randomly selected event dates.

Suggested Citation

  • Elvan Aktas, 2008. "Intraday stock returns and performance of a simple market model," Applied Financial Economics, Taylor & Francis Journals, vol. 18(18), pages 1475-1480.
    • Handle: RePEc:taf:apfiec:v:18:y:2008:i:18:p:1475-1480
    DOI: 10.1080/09603100701720294
    as

    Download full text from publisher

    File URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701720294
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/09603100701720294?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:18:y:2008:i:18:p:1475-1480. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAFE20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.