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Trading and Returns under Periodic Market Closures

Citations

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Cited by:

  1. Jan G. De Gooijer & Cees G. H. Diks & Łukasz T. Gątarek, 2012. "Information Flows Around the Globe: Predicting Opening Gaps from Overnight Foreign Stock Price Patterns," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 4(1), pages 23-44, March.
  2. Buckle, Mike & Chen, Jing & Guo, Qian & Li, Xiaoxi, 2023. "Does smile help detect the UK's price leadership change after MiFID?," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 756-769.
  3. A. Christian Silva & Ju-Yi Yen, 2010. "Stochastic resonance and the trade arrival rate of stocks," Quantitative Finance, Taylor & Francis Journals, vol. 10(5), pages 461-466.
  4. Alex Boulatov & Dmitry Livdan, 2006. "Strategic Trading with Market Closures," 2006 Meeting Papers 44, Society for Economic Dynamics.
  5. 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.
  6. Chia-Ching Chang & Sheng-Syan Chen & Robin Chou & Chin-Wen Hsin, 2011. "Intraday return spillovers and its variations across trading sessions," Review of Quantitative Finance and Accounting, Springer, vol. 36(3), pages 355-390, April.
  7. Liu, Xin & Zhang, Tianyao (Terry) & Zhang, Yaodong, 2026. "A hidden cost of ETF investing: Retail demand shocks and limits to arbitrage," Journal of Banking & Finance, Elsevier, vol. 185(C).
  8. Kotaro Miwa & Kazuhiro Ueda, 2017. "Is the Extension of Trading Hours Always Beneficial? An Artificial Agent-Based Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 50(4), pages 595-627, December.
  9. Hughes, Michael P. & Smith, Stanley D. & Winters, Drew B., 2008. "The effect of auctions on daily treasury-bill volatility," The Quarterly Review of Economics and Finance, Elsevier, vol. 48(1), pages 48-60, February.
  10. Kim, Donggyu & Song, Xinyu & Wang, Yazhen, 2022. "Unified discrete-time factor stochastic volatility and continuous-time Itô models for combining inference based on low-frequency and high-frequency," Journal of Multivariate Analysis, Elsevier, vol. 192(C).
  11. Christensen, Kim & Kolokolov, Aleksey, 2024. "An unbounded intensity model for point processes," Journal of Econometrics, Elsevier, vol. 244(1).
  12. Hughes, Michael P. & Smith, Stanley D. & Winters, Drew B., 2007. "An empirical examination of intraday volatility in on-the-run U.S. Treasury bills," Journal of Economics and Business, Elsevier, vol. 59(6), pages 487-499.
  13. Torben G. Andersen & Yingwen Tan & Viktor Todorov & Zhiyuan Zhang, 2025. "Testing mean stationarity of intraday volatility curves," Quantitative Economics, Econometric Society, vol. 16(3), pages 1059-1091, July.
  14. 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.
  15. Biais, Bruno & Glosten, Larry & Spatt, Chester, 2005. "Market microstructure: A survey of microfoundations, empirical results, and policy implications," Journal of Financial Markets, Elsevier, vol. 8(2), pages 217-264, May.
  16. Patricia Chelley‐Steeley, 2005. "Noise and the Trading Mechanism: the Case of SETS," European Financial Management, European Financial Management Association, vol. 11(3), pages 387-424, June.
  17. Bian, Jiangze & Su, Tie & Wang, Jun, 2022. "Non-marketability and one-day selling lockup," Journal of Empirical Finance, Elsevier, vol. 65(C), pages 1-23.
  18. Sabri Boubaker & Zhenya Liu & Ling Zhai, 2025. "Change-points and functional features of intraday volatility in China stock market," Annals of Operations Research, Springer, vol. 352(3), pages 563-582, September.
  19. Donggyu Kim & Minseok Shin, 2023. "Volatility models for stylized facts of high‐frequency financial data," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(3), pages 262-279, May.
  20. Hillion, Pierre & Suominen, Matti, 2004. "The manipulation of closing prices," Journal of Financial Markets, Elsevier, vol. 7(4), pages 351-375, October.
  21. Kusen, Alex & Rudolf, Markus, 2019. "Feedback trading: Strategies during day and night with global interconnectedness," Research in International Business and Finance, Elsevier, vol. 48(C), pages 438-463.
  22. Semenov, Andrei, 2015. "The small-cap effect in the predictability of individual stock returns," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 178-197.
  23. Song, Xinyu & Kim, Donggyu & Yuan, Huiling & Cui, Xiangyu & Lu, Zhiping & Zhou, Yong & Wang, Yazhen, 2021. "Volatility analysis with realized GARCH-Itô models," Journal of Econometrics, Elsevier, vol. 222(1), pages 393-410.
  24. Xiao, Xijuan & Yamamoto, Ryuichi, 2020. "Price discovery, order submission, and tick size during preopen period," Pacific-Basin Finance Journal, Elsevier, vol. 63(C).
  25. Ahoniemi, Katja & Lanne, Markku, 2013. "Overnight stock returns and realized volatility," International Journal of Forecasting, Elsevier, vol. 29(4), pages 592-604.
  26. Mondher Bellalah, 2009. "Derivatives, Risk Management & Value," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7175.
  27. Kamat, Arati, 2026. "Hour-Aware Adaptive Risk Management for Autonomous Memecoin Trading: A Multi-Layer Intelligence Framework," MPRA Paper 129483, University Library of Munich, Germany.
  28. Dmitriy Muravyev & Joerg Picard, 2022. "Does trade clustering reduce trading costs? Evidence from periodicity in algorithmic trading," Financial Management, Financial Management Association International, vol. 51(4), pages 1201-1229, December.
  29. Joao Amaro De Matos & Paula Antao, 2003. "Market illiquidity and bounds on European option prices," The European Journal of Finance, Taylor & Francis Journals, vol. 9(5), pages 475-498.
  30. Donggyu Kim & Minseok Shin & Yazhen Wang, 2023. "Overnight GARCH-Itô Volatility Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(4), pages 1215-1227, October.
  31. Hui Chen & Anton Petukhov & Jiang Wang & Hao Xing, 2024. "The Dark Side of Circuit Breakers," Journal of Finance, American Finance Association, vol. 79(2), pages 1405-1455, April.
  32. Ron Kaniel & Hong Liu, "undated". "Are Transactions and Market Orders More Important than Limit Orders in the Quote Updating Process?," Rodney L. White Center for Financial Research Working Papers 16-98, Wharton School Rodney L. White Center for Financial Research.
  33. Takatoshi Ito & Richard K. Lyons & Michael T. Melvin, 1996. "Is There Private Information in the FX Market? The Tokyo Experiment," Working Papers _005, University of California at Berkeley, Haas School of Business.
  34. José Valentim Machado Vicente & Gustavo Silva Araujo & Paula Baião Fisher de Castro & Felipe Noronha Tavares, 2014. "Assessing Day-to-Day Volatility: Does the Trading Time Matter?," Brazilian Review of Finance, Brazilian Society of Finance, vol. 12(1), pages 41-66.
  35. Rinne, Kalle & Suominen, Matti, 2017. "How some bankers made a million by trading just two securities?," Journal of Empirical Finance, Elsevier, vol. 44(C), pages 304-315.
  36. Guillermo Llorente & Roni Michaely & Gideon Saar & Jiang Wang, 2002. "Dynamic Volume-Return Relation of Individual Stocks," The Review of Financial Studies, Society for Financial Studies, vol. 15(4), pages 1005-1047.
  37. Mahmoud Qadan & David Y. Aharon, 2019. "The length of the trading day and trading volume," Eurasian Business Review, Springer;Eurasia Business and Economics Society, vol. 9(2), pages 137-156, June.
  38. Hartmann, Philipp & Manna, Michele & Manzanares, Andres, 2001. "The microstructure of the euro money market," Journal of International Money and Finance, Elsevier, vol. 20(6), pages 895-948, November.
  39. Zaichao Du, 2011. "Intraday probability of informed trading," Economics Bulletin, AccessEcon, vol. 31(4), pages 3103-3112.
  40. Nina Boyarchenko & Lars C Larsen & Paul Whelan & Stefano Giglio, 2023. "The Overnight Drift," The Review of Financial Studies, Society for Financial Studies, vol. 36(9), pages 3502-3547.
  41. Kotaro Miwa, 2020. "Market Closures and Cross-sectional Stock Returns," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(1), pages 1-33, March.
  42. Cajueiro, Daniel O. & Tabak, Benjamin M. & Souza, Nathalia A., 2005. "Periodic market closures and the long-range dependence phenomena in the Brazilian equity market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 351(2), pages 512-522.
  43. Kotaro Miwa, 2018. "Effective extension of trading hours," Evolutionary and Institutional Economics Review, Springer, vol. 15(1), pages 139-166, June.
  44. George D. Cashman & David M. Harrison & Hainan Sheng, 2026. "Dynamic Incentives in REIT Option Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 72(1), pages 191-234, January.
  45. A. Christian Silva & Ju-Yi J. Yen, 2008. "Stochastic resonance and the trade arrival rate of stocks," Papers 0807.0925, arXiv.org.
  46. Joao Dionisio Monteiro & Jose Luis Miralles-Quiros & Jose Ramos Pires Manso, 2018. "Is There Seasonality in Traded and Non-Traded Period Returns in the US Equity Market? A Multiple Structural Change Approach," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 68(1), pages 71-98, February.
  47. Fatima Sol Murta, 2007. "The Money Market Daily Session :an UHF-GARCH Model Applied to the Portuguese Case Before and After the Introduction Of the Minimum Reserve System of the Single Monetary Policy," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 50(3), pages 285-314.
  48. Stilian A. Stoev & George Michailidis, 2010. "On the estimation of the heavy‐tail exponent in time series using the max‐spectrum," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 26(3), pages 224-253, May.
  49. Bogousslavsky, Vincent, 2021. "The cross-section of intraday and overnight returns," Journal of Financial Economics, Elsevier, vol. 141(1), pages 172-194.
  50. Zhang, Wei & Wang, Pengfei & Li, Yi, 2020. "Intraday momentum in Chinese commodity futures markets," Research in International Business and Finance, Elsevier, vol. 54(C).
  51. Obizhaeva, Anna A. & Wang, Jiang, 2013. "Optimal trading strategy and supply/demand dynamics," Journal of Financial Markets, Elsevier, vol. 16(1), pages 1-32.
  52. Arati Uday Kamat, 2026. "Hour-Aware Adaptive Risk Management for Autonomous Memecoin Trading: A Multi-Layer Intelligence Framework," Papers 2606.08232, arXiv.org.
  53. Min Dai & Peifan Li & Hong Liu & Yajun Wang, 2016. "Portfolio Choice with Market Closure and Implications for Liquidity Premia," Management Science, INFORMS, vol. 62(2), pages 368-386, February.
  54. Leonardo Bartolini & Spence Hilton & Alessandro Prati, 2008. "Money Market Integration," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(1), pages 193-213, February.
  55. Cyree, Ken B. & Griffiths, Mark D. & Winters, Drew B., 2004. "An empirical examination of the intraday volatility in euro-dollar rates," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(1), pages 44-57, February.
  56. Torben G. Andersen & Martin Thyrsgaard & Viktor Todorov, 2021. "Recalcitrant betas: Intraday variation in the cross‐sectional dispersion of systematic risk," Quantitative Economics, Econometric Society, vol. 12(2), pages 647-682, May.
  57. Baltussen, Guido & Da, Zhi & Lammers, Sten & Martens, Martin, 2021. "Hedging demand and market intraday momentum," Journal of Financial Economics, Elsevier, vol. 142(1), pages 377-403.
  58. Michael A Kelly & Steven P Clark, 2011. "Returns in trading versus non-trading hours: The difference is day and night," Journal of Asset Management, Palgrave Macmillan, vol. 12(2), pages 132-145, June.
  59. Perras, Patrizia & Wagner, Niklas, 2025. "Give me a break: What does the equity premium compensate for?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 99(C).
  60. Si, Yuancheng & Nadarajah, Saralees, 2025. "Fractal insights into overnight and intraday returns: Unraveling global market heterogeneity," Finance Research Letters, Elsevier, vol. 85(PB).
  61. Christian L Dunis & Jason Laws & Jozef Rudy, 2011. "Profitable mean reversion after large price drops: A story of day and night in the S&P 500, 400 MidCap and 600 SmallCap Indices," Journal of Asset Management, Palgrave Macmillan, vol. 12(3), pages 185-202, August.
  62. Fang Liang & Lingshan Du & Zhuo Huang, 2023. "Option pricing with overnight and intraday volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(11), pages 1576-1614, November.
  63. Yuan, Xianghui & Li, Xiang, 2022. "Delta-hedging demand and intraday momentum: Evidence from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 600(C).
  64. Julia M. Puaschunder, 2023. "Finance Followership," RAIS Conference Proceedings 2022-2026 0249, Research Association for Interdisciplinary Studies.
  65. Detlef Seese & Christof Weinhardt & Frank Schlottmann (ed.), 2008. "Handbook on Information Technology in Finance," International Handbooks on Information Systems, Springer, number 978-3-540-49487-4, October.
  66. Todorov, Viktor & Zhang, Yang, 2026. "Intraday volatility patterns from short-dated options," Journal of Econometrics, Elsevier, vol. 254(PA).
  67. Natsumi Ochiai & Hisashi Tanizaki, 2026. "Intraday volatility of 24-hour trading pattern in Japanese market," SN Business & Economics, Springer, vol. 6(1), pages 1-17, January.
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