Author: Ali C. Akyol
Publisher:
ISBN:
Category :
Languages : en
Pages : 25
Get Book Here
Book Description
I examine intraday stock returns in the Istanbul Stock Exchange (ISE) around non-trading periods - weekends and holidays - by utilizing the exchange's structure of two trading sessions. I find that returns are generally more positive in the last session on Fridays and more negative in the first session on Mondays. The results also indicate that the weekend effect has disappeared in the ISE in recent years. I further find some evidence that there is a relationship between the length of a holiday non-trading period and returns around it. The longer a non-trading period is, the more positive the returns are in the morning session before the holiday and the less positive the returns are in the morning session after the holiday. My findings indicate the importance of the uncertainty imposed on stock returns by the length of a non-trading period.
Author: Christopher S. Jones
Publisher:
ISBN:
Category :
Languages : en
Pages : 86
Get Book Here
Book Description
We find that option returns are significantly lower over nontrading periods, the vast majority of which are weekends. Our evidence suggests that nontrading returns cannot be explained by risk, but are rather the result of widespread and highly persistent option mispricing driven by the incorrect treatment of non-smoothness in stock return variance. The size of the effect implies that the broad spectrum of finance research involving option prices should account for nontrading effects and non-smoothness in variance more generally. Our study further suggests how alternative industry practices could improve the efficiency of option markets in a meaningful way.
Author: Ronald W. Masulis
Publisher:
ISBN:
Category :
Languages : en
Pages : 42
Get Book Here
Book Description
Author: Robert A. Ariel
Publisher: Palala Press
ISBN: 9781379114314
Category : History
Languages : en
Pages : 52
Get Book Here
Book Description
This work has been selected by scholars as being culturally important, and is part of the knowledge base of civilization as we know it. This work was reproduced from the original artifact, and remains as true to the original work as possible. Therefore, you will see the original copyright references, library stamps (as most of these works have been housed in our most important libraries around the world), and other notations in the work. This work is in the public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work. As a reproduction of a historical artifact, this work may contain missing or blurred pages, poor pictures, errant marks, etc. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.
Author: Thomas H. McInish
Publisher:
ISBN:
Category : Stocks
Languages : en
Pages : 26
Get Book Here
Book Description
Author: Kirt C. Butler
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
We examine the share-price behavior of thinly traded NASDAQ National Market System stocks during periods when financial markets are open but the individual stocks do not trade. The absence of trade allows us to isolate the effect of nontrading from that of market closure. We find that nontrading stocks have negative mean returns and lower variances regardless of whether markets are open or closed. Two-day returns that include one nontrading day have a mean daily return of -0.226% compared to +0.164% for two-day returns over consecutive trading days. Two-day returns that include one nontrading day have only a 3.8% higher variance than one-day returns. We conclude that the relation between transaction arrival, mean returns, and volatility depends on whether a stock is trading and not simply on whether the market is open.
Author: Zvi Wiener
Publisher:
ISBN:
Category :
Languages : en
Pages : 38
Get Book Here
Book Description
We find an anomaly for traded and non-traded period returns for major non-US stock markets. Returns were significantly negative over trading periods and positive over non-traded periods, while for US stock markets, both non-traded and traded period returns were positive. This anomaly appears to be due to differences in regulatory risk management requirements for equity derivative market-makers. The introduction of Basle I based capital requirements appears to have amplified the anomaly.
Author: Clive William John Granger
Publisher:
ISBN:
Category : Random walks (Mathematics).
Languages : en
Pages : 346
Get Book Here
Book Description
Author: Wilson Tong
Publisher:
ISBN:
Category : Stock exchanges
Languages : en
Pages : 17
Get Book Here
Book Description
Author: Volodymyr M. Zdorovtsov
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Existing literature finds that equity return variances over trading periods substantially exceed those over nontrading periods and suggests three potential explanations for the effect: (1) more public information reaches the marketplace during normal business hours; (2) the trading activity of informed investors reveals their private information inducing greater return variance; (3) the process of trading itself introduces noise into stock prices and returns as investors overreact to each other's trades. I offer the first direct test of the public information, private information, and noise hypotheses utilizing data on order flow in the after-hours, pre-market, and regular trading sessions along with a unique extensive dataset of the contemporaneous public information flow for a large sample of Nasdaq securities. Consistent with the findings of prior literature, I show evidence in favor of the private information hypothesis. Contrary to the existing studies, however, my results also support the public information hypothesis.
