haku: @author Wang, J. / yhteensä: 17
viite: 8 / 17
| Tekijä: | Hong, H. Wang, J. |
| Otsikko: | Trading and returns under periodic market closures |
| Lehti: | Journal of Finance
2000 : FEB, VOL. 55:1, p. 297-354 |
| Asiasana: | FINANCE RETURN ON INVESTMENT TRADE |
| Kieli: | eng |
| Tiivistelmä: | 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. |
SCIMA