Abstract
ABSTRACT This study mainly focuses on utilizing the range-based CARR and CARRX models to explore the non-trading effects during the lunch break and overnight periods in volatility changes forecasting for the two stock markets in China. We find that the price difference in absolute values between the close price in day t-1 and the open price in day t are able to predict the volatility change in the morning trading session significantly. The price range during the lunch break and the trading volume change percentage in the morning session appear positive correlation with the volatility in the afternoon trading session.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
