The Predictability of Overnight Information
By decomposing close to close returns into close to open returns (overnight returns) and open to close returns (daytime returns), we test the predictability of overnight information, which is captured by absolute values of close to open returns, on daytime return volatility. Applying the stochastic...
Saved in:
| 主要作者: | |
|---|---|
| 格式: | text |
| 語言: | English |
| 出版: |
Institutional Knowledge at Singapore Management University
2007
|
| 主題: | |
| 在線閱讀: | https://ink.library.smu.edu.sg/etd_coll/46 https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1045&context=etd_coll |
| 標簽: |
添加標簽
沒有標簽, 成為第一個標記此記錄!
|
| 總結: | By decomposing close to close returns into close to open returns (overnight returns) and open to close returns (daytime returns), we test the predictability of overnight information, which is captured by absolute values of close to open returns, on daytime return volatility. Applying the stochastic volatility model, we find that overnight price changes contain important information to predict daytime volatility. The predictive power is highest at market opening and declines gradually over the trading day. Moreover, the predictive power is higher for inactive traded stocks than for actively traded stocks. |
|---|