Abstract

The Day-End Effect on the Paris Bourse

David Michayluk
University of Technology, Sydney

Gary C. Sanger
Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration

Journal of Financial Research, Forthcoming

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, likely 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.

Keywords: Securities markets, microstructure, Paris Bourse

JEL Classifications: G12, G14, G15

Accepted Paper Series

Date posted: March 11, 2005 ; Last revised: March 11, 2005

Suggested Citation

Sanger, Gary C. and Michayluk, David, The Day-End Effect on the Paris Bourse. Journal of Financial Research, Forthcoming. Available at SSRN: http://ssrn.com/abstract=676762

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Contact Information

Gary C. Sanger (Contact Author) Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration ( email ) 2163 CEBA Baton Rouge, LA 70803-6308 United States 225-578-6353 (Phone) 225-578-6366 (Fax)
David Michayluk University of Technology, Sydney ( email ) Haymarket Sydney, NSW 2007 Australia

Abstract

Date posted: March 11, 2005 ; Last revised: March 11, 2005

Suggested Citation

Contact Information

Gary C. Sanger (Contact Author)

David Michayluk