The Distribution of Daily Stock Returns and Settlement Procedures: The Paris Bourse.

In many countries, settlements take place a fixed number of business days after the transaction (United States, Japan). In other countries, settlements take place periodically on a fixed date when all transactions performed before this date are settled (United Kingdom, 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. Copyright 1990 by American Finance Association.