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Concentrated Opening Volume: Market Closure Or Strategic Trading?

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  • Ebenezer Asem
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    Abstract

    The NYSE extended its trading hours on September 30, 1985, by opening at 9:30 a.m. rather than at 10:00 a.m. Whereas the market closure models predict that the extension would result in lower relative volume and return variability at the open, the strategic trading models predict that the opening volume and return variability would remain relatively the same. Evidence around the extension suggests that the relative opening volume and return variability declined initially but increased gradually to their pre-extension levels. This evidence favors the strategic trading model explanation of the heightened opening volume. 2007 The Southern Finance Association and the Southwestern Finance Association.

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    Bibliographic Info

    Article provided by Southern Finance Association & Southwestern Finance Association in its journal Journal of Financial Research.

    Volume (Year): 30 (2007)
    Issue (Month): 2 ()
    Pages: 321-334

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    Handle: RePEc:bla:jfnres:v:30:y:2007:i:2:p:321-334

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