Intraday volatility smile: Effects of fragmentation and high frequency trading on price efficiency

Ligot, Stéphanie; Gillet, Roland; Veryzhenko, Iryna

doi:10.1016/j.intfin.2021.101437

Cited by 4 publications

(1 citation statement)

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“…Adenium volatility value is closer to 1, which was higher than others. High volatility indicates that price volatility arises over a more extended period (Ligot et al, 2021); that is called permanent volatility (Ahmed et al, 2012). Therefore, the price fluctuations in the future must be monitored.…”

Section: Ornamental Plant Price Volatility Analysismentioning

confidence: 99%

Price Volatility of Ornamental Plants in Batu Municipality

Khofifah

Nugroho

Sujarwo

2022

J AGRIB RURAL DEV RES

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The imbalance between supply and demand of ornamental plants in the market cause fluctuations that lead to price volatility. This study aimed to analyze the price volatility of ornamental plants with high economic value, such as orchids, adenium, aglaonema, anthurium, and palm. This study also analyzed the long-term and short-term relationship between the production and prices of these ornamental plants. The data used were the productions and prices of orchid, adenium, aglaonema, anthurium, and palm at the producer level from 2012 to 2020 obtained from the Agriculture Office of Batu Municipality. Volatility analysis was carried out using the ARCH/GARCH method, the long-term relationship was analyzed using the Johansen cointegration test, and the short-term relationship was carried out using the Error Correction model. The results of volatility analysis showed that all the ornamental plants studied had low price volatility. In addition, the productions and prices of the ornamental plants were cointegrated in the long run, but only the orchid had a short-term relationship with an adjustment period of 2.6 months.

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Section: Ornamental Plant Price Volatility Analysismentioning

confidence: 99%