초록
영어
This paper investigates the effects of infrequent trading and overnight trading halts on the overnight and daytime returns behavior. Previous empirical studies of market microstructure document the variance and covariance structure of intra- and inter-day stock returns. Many of them try to explain their findings by bid- ask spread. This study, however, explains it by the effects of infrequent trading and overnight trading halts. A model is developed for explaining various returns behavior based on the existence of infrequent trading and overnight trading halts. Empirical evidence is presented for KOSPI All Share, Large Cap, Small Cap indices. The empirical results confirm the validity of the model proposed in this study.
목차
Abstract
Ⅰ. Introduction
Ⅱ. The Model
Ⅲ. The Behavior of Individual Stock Returns
1. Intra-stock relations
2. Inter-stock relations
Ⅳ. Market Portfolio Returns Behavior
Ⅴ. Empirical Evidence for Stock Index
1. Are the covariances of observed market intra-day returns positive?
2. Are the variances of observed market close-to-close returns understated?
3. How about the variances of observed market open-to-open returns?
4. Are the derived variances of true market returns reliable?
Ⅵ. Concluding Remarks
References
Ⅰ. Introduction
Ⅱ. The Model
Ⅲ. The Behavior of Individual Stock Returns
1. Intra-stock relations
2. Inter-stock relations
Ⅳ. Market Portfolio Returns Behavior
Ⅴ. Empirical Evidence for Stock Index
1. Are the covariances of observed market intra-day returns positive?
2. Are the variances of observed market close-to-close returns understated?
3. How about the variances of observed market open-to-open returns?
4. Are the derived variances of true market returns reliable?
Ⅵ. Concluding Remarks
References
키워드
저자정보
참고문헌
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