DAY-END EFFECT ON THE PARIS BOURSE

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 t...

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Bibliographic Details
Published in:The Journal of financial research 2006-03, Vol.29 (1), p.131-146
Main Authors: Michayluk, David, Sanger, Gary C.
Format: Article
Language:English
Subjects:
G12
G14
G15
Stock exchanges
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Summary: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.
ISSN:0270-2592
1475-6803
DOI:10.1111/j.1475-6803.2006.00170.x