The Overnight Return Temporal Market Anomaly
نویسندگان
چکیده
منابع مشابه
Market Anomalies on Return
There are various anomalies in the financial markets such as profitability, financial distress, lottery, volatility, and growth options, which origin and nature are unclear, ambiguous and apparently unrelated. In this study, we investigate the seemingly unrelated anomalies using the third and fourth moments of return’s distribution function and by isolating the expected skewness effect attribut...
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We investigate the two components of the total daily return (close-to-close), the overnight return (close-to-open), and the daytime return (open-to-close), as well as the corresponding volatilities of the 2215 New York Stock Exchange stocks for the 20 year period from 1988 to 2007. The tail distribution of the volatility, the long-term memory in the sequence, and the cross correlation between d...
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ژورنال
عنوان ژورنال: International Journal of Economics and Finance
سال: 2017
ISSN: 1916-9728,1916-971X
DOI: 10.5539/ijef.v9n3p1