Earticle

초록

영어

This paper investigates the effects of infrequent trading and overnight trading halts on the overnight and daytime returns behavior. Previous empirical studies of market microstructure document the variance and covariance structure of intra- and inter-day stock returns. Many of them try to explain their findings by bid- ask spread. This study, however, explains it by the effects of infrequent trading and overnight trading halts. A model is developed for explaining various returns behavior based on the existence of infrequent trading and overnight trading halts. Empirical evidence is presented for KOSPI All Share, Large Cap, Small Cap indices. The empirical results confirm the validity of the model proposed in this study.

목차

Abstract
 Ⅰ. Introduction
 Ⅱ. The Model
 Ⅲ. The Behavior of Individual Stock Returns
  1. Intra-stock relations
  2. Inter-stock relations
 Ⅳ. Market Portfolio Returns Behavior
 Ⅴ. Empirical Evidence for Stock Index
  1. Are the covariances of observed market intra-day returns positive?
  2. Are the variances of observed market close-to-close returns understated?
  3. How about the variances of observed market open-to-open returns?
  4. Are the derived variances of true market returns reliable?
 Ⅵ. Concluding Remarks
 References

키워드

저자

• Kwangsoo Ko [ Assistant Professor, Division of Business Administration, School of Business and Economics, Pusan National University, ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  재무연구 [Asian Review of Financial Research]

• 간기

  계간

• pISSN

  1229-0351

• eISSN

  2713-6531

• 수록기간

  1988~2026

• 등재여부

  KCI 등재,SCOPUS

• 십진분류

  KDC 325 DDC 330