Groupe HEC, School of Management, 78350 Jouy en Josas, France.
The Distribution of Daily Stock Returns and Settlement Procedures: The Paris Bourse
Article first published online: 30 APR 2012
1990 The American Finance Association
The Journal of Finance
Volume 45, Issue 5, pages 1601–1609, December 1990
How to Cite
SOLNIK, B. (1990), The Distribution of Daily Stock Returns and Settlement Procedures: The Paris Bourse. The Journal of Finance, 45: 1601–1609. doi: 10.1111/j.1540-6261.1990.tb03730.x
- Issue published online: 30 APR 2012
- Article first published online: 30 APR 2012
In many countries settlements take place a fixed number of business days after the transaction (U.S., Japan). In other countries settlements take place periodically on a fixed date when all transactions performed before this date are settled (U.K., France, Italy). In both cases settlement procedures should cause returns not to be identically distributed over all days. The effect is likely to be the largest on markets where all trades are settled only once a month. An empirical investigation of the largest of those markets, the Paris Bourse, demonstrates the importance of the settlement procedure on the distribution of daily returns.