Overnight Information Effects on Intra-Day Stock Market Volatility

被引：0

作者：

Kim, Sun Woong ^{[1
]}

Choi, Heung Sik ^{[1
]}

机构：

[1] Kookmin Univ, Grad Sch Business Informat Technol, 861-1 Jeongneung Dong, Seoul 136702, South Korea

来源：

KOREAN JOURNAL OF APPLIED STATISTICS | 2010年 / 23卷 / 05期

关键词：

Non-trading time information; Overnight GJR-GARCH; VKOSPI;

D O I：

10.5351/KJAS.2010.23.5.823

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Stock markets perpetually accumulate information. During trading hours the price instantaneously reacts to new information, but accumulated overnight information reacts simultaneously on the opening price. This can create opening price fluctuations. This study explores the overnight information effects on intra-day stock market volatility. GARCH models and the VKOSPI model are provided. Empirical data includes daily opening and closing prices of the KOSPI 200 index and the VKOSPI from March 3rd 2008 to June 22th 2010. Empirical results show that the VKOSPI significantly decrease during trading time when positive overnight information moves the Korean stock upward. This study provides useful information to investors since the Korea Exchange plans to introduce a futures market for the VKOSPI soon.

引用

页码：823 / 834

页数：12

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