Daytime Returns Research Articles

Influence of daylight and noise current on cloud and aerosol observations by spaceborne elastic scattering lidar

The influence of daylight and noise current on cloud and aerosol observations by realistic spaceborne lidar was examined by computer simulations. The reflected solar radiations, which contaminate the daytime return signals of lidar operations, were strictly and explicitly estimated by accurate radiative transfer calculations. It was found that the model multilayer cirrus clouds and the boundary layer aerosols could be observed during the daytime and the nighttime with only a few laser shots. However, high background noise and noise current make it difficult to observe volcanic aerosols in middle and upper atmospheric layers. Optimal combinations of the laser power and receiver field of view are proposed to compensate for the negative influence that is due to these noises. For the computer simulations, we used a realistic set of lidar parameters similar to the Experimental Lidar in-Space Equipment of the National Space Development Agency of Japan.

Trading mechanisms and return volatility: An empirical analysis of the stock exchange of Thailand

We examine the behavior of the return volatility for stocks listed on the Stock Exchange of Thailand. Opening transactions3exhibit more volatility than closing transactions, daytime returns are more volatile than overnight returns, open-to-open and close-to-close returns exhibit positive serial correlation, the correlations between daytime and following overnight returns are positive, and the correlations between overnight and following daytime returns are negative. We conclude that prices adjust partially from transaction to transaction, overnight returns tend to be reversed by the following day return, and price continuations exist from closing to next day's opening.

Price volatility of Indonesian stocks

The first-order serial dependence between overnight returns and following daytime returns and between overnight returns and preceding daytime returns is evaluated to gain insight into the intraday volatility behavior of Indonesian stocks. The pattern of price reversals and price continuations observed for Indonesian stocks is different from the U.S. and Japanese markets, reflecting differences in market microstructure of the three markets. Price reversals are dominant over price continuations at the market open as well as market close for Indonesian stocks. These results are different from the U.S. experience since high-volume U.S. stocks tend to show price continuity at the market close, an attribute that is associated with the stabilization activities by market-makers. These results are also different from the Japanese experience which also shows strong price continuations at the market close.

Market closure and predictability of intradaily stock returns in the United States and Japan

This paper analyzes the effect of overnight trading halts on the predictability of intradaily stock returns. The out-of-sample predictive power of several competing models is studied based upon Merton's (1981) market-timing and mean squared errors criteria. Results show that the predictability of overnight returns is significantly higher than that of daytime returns. This evidence is interpreted as the compensation for the increased risk of holding stocks overnight or for the increased cost of inferring the value of stocks overnight. A comparable study from the foreign exchange market corroborates this argument.

Pricing errors at the open and close for foreign stocks traded on the NYSE

This paper documents that the ratio of open-to-open return variance to close-to-close return variance for foreign stocks traded on the NYSE is smaller than that for domestic stocks. The evidence is consistent with the hypothesis that overnight trading activities reduce transitory volatility at the open. The variance ratios for Pacific-Basin stocks are generally smaller than one. In contrast with the evidence for domestic stocks, both Pacific-Basin and European stocks traded on the NYSE exhibit positive correlations between overnight returns and the following daytime returns. Correlations between daytime returns and the following overnight returns are not reliably different from zero, when quote-based returns are used.

Good news, bad news and international spillovers of stock return volatility between Japan and the U.S.

We study the joint dynamics of overnight and daytime return volatility for the Nikkei Stock Average in Tokyo and the Standard and Poor's 500 Stock Index in New York over the recent 1988–92 period. We extend the GARCH framework of Engle (1982) and Bollerslev (1986) to allow for asymmetric effects of negative (“bad news”) and positive (“good news”) foreign market returns shocks for volatility. Our evidence demonstrates that the magnitude and persistence of shocks originating in New York or Tokyo that transmit to the other market are significantly understated if this asymmetric effect is ignored. Implications for pricing of securities within those markets, for hedging and other global trading strategies and for regulatory policies within these financial markets are also discussed.

Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility

This article investigates empirically how returns and volatilities of stock indices are correlated between the Tokyo and New York markets. Using intradaily data that define daytime and overnight returns for both markets, we find that Tokyo (New York) daytime returns are correlated with New York (Tokyo) overnight returns. We interpret this result as evidence that information revealed during the trading hours of one market has a global impact on the returns of the other market. In order to extract the global factor from the daytime returns of one market, we propose and estimate a signal-extraction model with GARCH processes. Article published by Oxford University Press on behalf of the Society for Financial Studies in its journal, The Review of Financial Studies.