Analysis of Realized Volatility in Two Trading Sessions of the Japanese Stock Market
AbstractWe analyze realized volatilities constructed using high-frequency stock data on the Tokyo Stock Exchange. In order to avoid non-trading hours issue in volatility calculations we define two realized volatilities calculated separately in the two trading sessions of the Tokyo Stock Exchange, i.e. morning and afternoon sessions. After calculating the realized volatilities at various sampling frequencies we evaluate the bias from the microstructure noise as a function of sampling frequency. Taking into account of the bias to realized volatility we examine returns standardized by realized volatilities and confirm that price returns on the Tokyo Stock Exchange are described approximately by Gaussian time series with time-varying volatility, i.e. consistent with a mixture of distributions hypothesis.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1304.6006.
Date of creation: Apr 2013
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Publication status: Published in Prog. Theor. Phys. Supplement No.194 (2012) pp. 43-54
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-04-27 (All new papers)
- NEP-FMK-2013-04-27 (Financial Markets)
- NEP-MST-2013-04-27 (Market Microstructure)
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