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...
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Institutional Knowledge at Singapore Management University
2007
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sg-smu-ink.etd_coll-10452011-02-23T08:00:16Z The Predictability of Overnight Information ZHONG, Zhuo 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. 2007-01-01T08:00:00Z text application/pdf https://ink.library.smu.edu.sg/etd_coll/46 https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1045&context=etd_coll http://creativecommons.org/licenses/by-nc-nd/4.0/ Dissertations and Theses Collection (Open Access) eng Institutional Knowledge at Singapore Management University inactive stocks overnight information shocks return on investment securities analysis stock exchanges Portfolio and Security Analysis |
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Singapore Management University |
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SMU Libraries |
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Singapore Singapore |
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inactive stocks overnight information shocks return on investment securities analysis stock exchanges Portfolio and Security Analysis |
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inactive stocks overnight information shocks return on investment securities analysis stock exchanges Portfolio and Security Analysis ZHONG, Zhuo The Predictability of Overnight Information |
| description |
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. |
| format |
text |
| author |
ZHONG, Zhuo |
| author_facet |
ZHONG, Zhuo |
| author_sort |
ZHONG, Zhuo |
| title |
The Predictability of Overnight Information |
| title_short |
The Predictability of Overnight Information |
| title_full |
The Predictability of Overnight Information |
| title_fullStr |
The Predictability of Overnight Information |
| title_full_unstemmed |
The Predictability of Overnight Information |
| title_sort |
predictability of overnight information |
| publisher |
Institutional Knowledge at Singapore Management University |
| publishDate |
2007 |
| url |
https://ink.library.smu.edu.sg/etd_coll/46 https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1045&context=etd_coll |
| _version_ |
1712300821174026240 |