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政大機構典藏 > 商學院 > 國際經營與貿易學系 > 期刊論文 > Item 140.119/71657

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/71657

Title:	Statistical analysis of the overnight and daytime return
Authors:	謝淑貞 Wang,Fengzhong;Shieh,Shwu-Jane;Shlomo Havlin;H. Eugene Stanley
Contributors:	國貿系
Date:	2009
Issue Date:	2014-11-25 11:42:11 (UTC+8)
Abstract:	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 NYSE stocks from 1988 to 2007. The tail distribution of the volatility, the long-term memory in the sequence, and the cross-correlation between different returns are analyzed. Our results suggest that: (i) The two component returns and volatilities have similar features as that of the total return and volatility. The tail distribution follows a power law for all volatilities, and long-term correlations exist in the volatility sequences but not in the return sequences. (ii) The daytime return contributes more to the total return. Both the tail distribution and the long-term memory of the daytime volatility are more similar to that of the total volatility, compared to the overnight records. In addition, the cross-correlation between the daytime return and the total return is also stronger. (iii) The two component returns tend to be anti-correlated. Moreover, we find that the cross-correlations between the three different returns (total, overnight, and daytime) are quite stable over the entire 20-year period.
Relation:	PHYSICAL REVIEW E 79, 056109
Data Type:	article
Appears in Collections:	[國際經營與貿易學系 ] 期刊論文

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