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An Examination of Stock Market Return Volatility during Overnight and Intraday Periods, 1964-1989

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  • Lockwood, Larry J
  • Linn, Scott C

Abstract

This paper examines the variance of hourly market returns during 1964-89. Results indicate that return volatility falls from the opening hour until early afternoon and rises thereafter, and is significantly greater for intraday versus overnight periods. Market variance is also shown to change significantly over time, rising after NASDAQ began in 1971, rising after trading in stock options began in 1973, falling after fixed commissions were eliminated in 1975, rising after trading in stock index futures was introduced in 1982, and falling after margin requirements for stock index futures became larger in 1988. Copyright 1990 by American Finance Association.

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Bibliographic Info

Article provided by American Finance Association in its journal Journal of Finance.

Volume (Year): 45 (1990)
Issue (Month): 2 (June)
Pages: 591-601

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Handle: RePEc:bla:jfinan:v:45:y:1990:i:2:p:591-601

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Cited by:
  1. Jakub W. Jurek & Erik Stafford, 2011. "Crashes and Collateralized Lending," NBER Working Papers 17422, National Bureau of Economic Research, Inc.
  2. Pagano, Michael S. & Peng, Lin & Schwartz, Robert A., 2013. "A call auction's impact on price formation and order routing: Evidence from the NASDAQ stock market," Journal of Financial Markets, Elsevier, vol. 16(2), pages 331-361.
  3. Pagano, Michael S. & Peng, Lin & Schwartz, Robert A., 2008. "The quality of price formation at market openings and closings: Evidence from the Nasdaq stock market," CFS Working Paper Series 2008/45, Center for Financial Studies (CFS).
  4. Lang, Larry H. P. & Lee, Yi Tsung, 1999. "Performance of various transaction frequencies under call markets: The case of Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 7(1), pages 23-39, February.
  5. Sanjay Ramchander & Marc Simpson & Mukesh Chaudhry, 2003. "The impact of inflationary news on money market yields and volatilities," Journal of Economics and Finance, Springer, vol. 27(1), pages 85-101, March.
  6. Evans, Kevin P. & Speight, Alan E.H., 2010. "Intraday periodicity, calendar and announcement effects in Euro exchange rate volatility," Research in International Business and Finance, Elsevier, vol. 24(1), pages 82-101, January.
  7. William L. Silber, 2009. "Why did FDR's bank holiday succeed?," Economic Policy Review, Federal Reserve Bank of New York, issue Jul, pages 19-30.
  8. Seungmoon Choi, 2011. "Closed-Form Likelihood Expansions for Multivariate Time-Inhomogeneous Diffusions," School of Economics Working Papers 2011-26, University of Adelaide, School of Economics.
  9. Çankaya, Serkan & Ulusoy, Veysel & Eken, Hasan/M., 2011. "The Behavior of Istanbul Stock Exchange Market: An Intraday Volatility/Return Analysis Approach," MPRA Paper 43656, University Library of Munich, Germany.
  10. A. Christian Silva & Ju-Yi J. Yen, 2008. "Stochastic resonance and the trade arrival rate of stocks," Papers 0807.0925, arXiv.org.

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