Date of Degree


Document Type


Degree Name





Robert A. Schwartz

Subject Categories

Finance and Financial Management


fragmentation, intraday, microstructure, volatility


This dissertation consists of five chapters that focus on the price discovery role of equity markets and examine the evolution of intraday stock price volatility as a key measure of market quality. Using six differentiated measures of intraday volatility (that mostly focus on the opening half-hour of trading), all common stocks listed at three stock exchanges with varying levels of fragmentation are analyzed: NYSE and NASDAQ stocks over the period 1993-2012, and Istanbul Stock Exchange (ISE) stocks over the period 2000-2011.

The results on the evolution of intraday volatility presented in Chapters 2 and 3 indicate the following: In 1993, opening period volatility for NYSE listed stocks was considerably lower than it was for NASDAQ stocks. Over the years that followed, NASDAQ's opening volatility fluctuated widely, but has exhibited neither an upward nor a downward trend. For the NYSE, on the other hand, opening volatility has risen appreciably; now, and in recent years, its pattern closely matches that of NASDAQ. ISE listed stocks exhibited much higher intraday volatility at the beginning of the sample period (in 2000), but it decreased over the next twelve years.

Recognizing the differences in the evolution of fragmentation in these three markets, Chapter 4 presents an analysis of the relation between stock-level fragmentation and the corresponding intraday volatility for the U.S. stocks. The chapter documents a positive and persistent relationship between fragmentation and opening period volatility.

In light of the results presented in this dissertation, it is important for market participants to recognize the complexities of the price discovery process in the marketplace and to target on developing more efficient trading mechanisms that will improve the quality of prices. These improvements will benefit the participants in a market as well as the broader economy that they constitute.