The Predictability of Overnight Information

• Main Author: ZHONG, Zhuo
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2007
• Subjects: inactive stocks; overnight information shocks; return on investment; securities analysis; stock exchanges; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/etd_coll/46; https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1045&context=etd_coll
• Institution: Singapore Management University

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...