Whether Cross-Listing, Stock-Specifi c and Market-Wide Calendar Events Impact Intraday Volatility Dynamics? Evidence from the Indian Stock Market Using High-Frequency Data

21 Pages Posted: 30 Nov 2012

See all articles by Sobhesh Kumar Agarwalla

Sobhesh Kumar Agarwalla

Indian Institute of Management (IIM) Ahmedabad

Ajay Pandey

OP Jindal Global University - Jindal Global Law School (JGLS)

Date Written: November 28, 2012

Abstract

Using high-frequency stock price data, we investigate the effect of various stock-specific and market-wide events on intraday volatility dynamics in the Indian market. Modeling intraday volatility dynamics using FFF regressions, we examine the effect of – cross-listing, weekends and holidays, scheduled temporary trading halts, and derivatives’ expiry day, on intraday volatility dynamics. We find that Indian stock market exhibits 'reverse J' shaped intraday volatility with much higher intraday variation than what has been reported in other markets. The intraday variation is more in the case of large cap stocks relative to small cap stocks. Higher volatility is also observed in the first one-hour of trade after weekends, in the first half-an-hour after the holidays, in the last one-hour of trade before the weekends. Temporary scheduled trading halts cause the volatility to rise when the market re-opens. The stocks, cross-listed elsewhere, exhibit higher volatility in the first 45 minutes of trade relative to other stocks. Volatility of the stocks with derivative contracts increases in the last half-an-hour trade on the expiry day, the time period relevant for estimation of the settlement price of the derivative contracts, but not in other time intervals. While our results are mostly along the lines of previous findings, the use of high-frequency data allows us to locate precisely the time-intervals which are affected by the investigated calendar events.

Keywords: intraday volatility, emerging market, calendar effects, cross-listing, derivatives expiry days

JEL Classification: G12, G14, G15

Suggested Citation

Agarwalla, Sobhesh Kumar and Pandey, Ajay, Whether Cross-Listing, Stock-Specifi c and Market-Wide Calendar Events Impact Intraday Volatility Dynamics? Evidence from the Indian Stock Market Using High-Frequency Data (November 28, 2012). Available at SSRN: https://ssrn.com/abstract=2182429 or http://dx.doi.org/10.2139/ssrn.2182429

Sobhesh Kumar Agarwalla (Contact Author)

Indian Institute of Management (IIM) Ahmedabad ( email )

Vastrapur
Ahmedabad, Gujarat 380 015
India
91.79.66324865 (Phone)

Ajay Pandey

OP Jindal Global University - Jindal Global Law School (JGLS) ( email )

Jindal Centre 12 Bhi12 Bhikaiji Cama Place
Near Jagdishpur Village
New Delhi, Uttar Pradesh/Haryana 110 066
India

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