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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| 語言: | English |
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Institutional Knowledge at Singapore Management University
2007
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| 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 |
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