Day-end effect on the Paris Bourse

Michayluk, D; Sanger, GC

Day-end effect on the Paris Bourse

Michayluk, D

Sanger, GC

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Publication Type:: Journal Article
Citation:: Journal of Financial Research, 2006, 29 (1), pp. 131 - 146
Issue Date:: 2006-03-01

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Field	Value	Language
dc.contributor.author	Michayluk, D https://orcid.org/0000-0001-9020-0855	en_US
dc.contributor.author	Sanger, GC	en_US
dc.date.issued	2006-03-01	en_US
dc.identifier.citation	Journal of Financial Research, 2006, 29 (1), pp. 131 - 146	en_US
dc.identifier.issn	0270-2592	en_US
dc.identifier.uri	http://hdl.handle.net/10453/5441
dc.description.abstract	We study the day-end effect on the Paris Bourse, a computerized order-driven market with competing dealers. The day-end return is approximately double the magnitude found in U.S. data and is nearly four times larger for stocks trading with a registered dealer. However, this is largely explained by the time between trades and the bid-ask spread. Unlike the U.S. data, the effect does not decline as stock price increases, probably because of a variable tick size in the Paris market. Finally, a change to a closing call auction in May 1996 for a subset of stocks did not reduce the day-end effect.	en_US
dc.relation.ispartof	Journal of Financial Research	en_US
dc.relation.isbasedon	10.1111/j.1475-6803.2006.00170.x	en_US
dc.subject.classification	Finance	en_US
dc.title	Day-end effect on the Paris Bourse	en_US
dc.type	Journal Article
utslib.citation.volume	1	en_US
utslib.citation.volume	29	en_US
utslib.for	150201 Finance	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
utslib.for	1501 Accounting, Auditing and Accountability	en_US
dc.location.activity	Vancouver, CANADA
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Finance Discipline
utslib.copyright.status	closed_access
pubs.issue	1	en_US
pubs.publication-status	Published	en_US
pubs.volume	29	en_US

Abstract:

We study the day-end effect on the Paris Bourse, a computerized order-driven market with competing dealers. The day-end return is approximately double the magnitude found in U.S. data and is nearly four times larger for stocks trading with a registered dealer. However, this is largely explained by the time between trades and the bid-ask spread. Unlike the U.S. data, the effect does not decline as stock price increases, probably because of a variable tick size in the Paris market. Finally, a change to a closing call auction in May 1996 for a subset of stocks did not reduce the day-end effect.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/5441