search query: @author Wang, J. / total: 17
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| Author: | Hong, H. Wang, J. |
| Title: | Trading and returns under periodic market closures |
| Journal: | Journal of Finance
2000 : FEB, VOL. 55:1, p. 297-354 |
| Index terms: | FINANCE RETURN ON INVESTMENT TRADE |
| Language: | eng |
| Abstract: | This paper studies how market closures 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. |
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