Publication Type
Master Thesis
Version
publishedVersion
Publication Date
2007
Abstract
By decomposing close to close returns into close to open returns (overnight returns) and open to close returns (daytime returns), we test the predictability of overnight information, which is captured by absolute values of close to open returns, on daytime return volatility. Applying the stochastic volatility model, we find that overnight price changes contain important information to predict daytime volatility. The predictive power is highest at market opening and declines gradually over the trading day. Moreover, the predictive power is higher for inactive traded stocks than for actively traded stocks.
Keywords
inactive stocks, overnight information shocks, return on investment, securities analysis, stock exchanges
Degree Awarded
MSc in Finance
Discipline
Portfolio and Security Analysis
Supervisor(s)
WU, Chunchi
Publisher
Singapore Management University
City or Country
Singapore
Citation
ZHONG, Zhuo.
The Predictability of Overnight Information. (2007).
Available at: https://ink.library.smu.edu.sg/etd_coll/46
Copyright Owner and License
Author
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.