Trading And Returns Under Periodic Market Closures  

Oleh:

Hong, Harrison ; Jiang Wong

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 55 no. 1 (2000), page 297-354.
Topik: trading; securities markets; investment policy; volatility; studies; mathematical models
Fulltext: p 297.pdf (1.11MB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88.1 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

This paper studies how market clisures affect investors' trading policies and the resulting return - generating process. It shows that closures generate rich patterns of time variation in trading and returns, including those consistent with empirical findings : 1. U - shaped patterns in the mean and volatility of returns over trading periods 2. higher trading activity around the close and open 3. more volatile open - to - open returns than close - to - close returns 4. higher returns over trading periods than over non trading periods 5. more volatile returns over trading periods than over non trading periods. It also shoes that closures can make prices more informative about future payoffs.

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