Trading Hours Research Articles

Variable trading hours and market reactions to earnings announcements

This study examines the relationship between stock market trading hours and market reactions to earnings announcements. The analysis demonstrates that post-announcement non-trading hours diminish trading volume reactions associated with differential interpretations. Moreover, post-announcement non-trading hours facilitate timely price reactions.

On the Nature of (Jump) Skewness Risk Premia

Market skewness risk is priced, but the components of its premium are not fully understood. We propose new trading strategies decomposing the skewness risk premium into jump and leverage effect components, and we analyze the skewness risk premia in the market for S&P 500 index options. We find that the skewness premium is higher when markets are closed than during trading hours, consistently with uncertainty resolution patterns by non-U.S investors; that it increases after left-tail market events; and that it is distinct from the variance premium. Moreover, during trading hours, the skewness premium is dominated by priced jump risk. This paper was accepted by Kay Giesecke, finance. Funding: P. Orłowski acknowledges financial support from the Doc.Mobility program of the Swiss National Science Foundation [Project P1TIP1_161875 “Option portfolio returns and dispersion”]. P. Schneider acknowledges financial support from the Swiss National Science Foundation [Projects 169582 “Model-free asset pricing” and 189086 “Scenarios”]. F. Trojani and P. Orłowski acknowledge financial support from the Swiss National Science Foundation [Project 150198 “Higher order robust resampling and multiple testing methods”] and the Swiss Finance Institute [Project “Term structures and cross-sections of asset risk premia”]. F. Trojani gratefully acknowledges support from the AXA Chair in Socioeconomic Risks of Financial Markets at the University of Turin. Supplemental Material: The data files and online appendices are available at https://doi.org/10.1287/mnsc.2023.4734 .

An overlooked effect: domestic violence and alcohol policies in the night-time economy.

Restrictive late-night alcohol policies are aimed at reducing alcohol-related violence but, to date, no evaluations of their impact on family and domestic violence have been conducted. This study aimed to measure whether modifying the drinking environment and restricting on-site trading hours affected reported rates of family and domestic violence. This study used a non-equivalent control group design with two treatment sites and two matched control sites with pre- and postintervention data on rates of family and domestic violence assaults within local catchment areas of four late-night entertainment precincts in New South Wales, Australia, covering a population of 27309 people. Participants comprised monthly counts of police-recorded incidents of domestic violence assaults from January 2001 to December 2019. Two variations of restrictive late-night interventions were used: restricted entry to late-night venues after 1:30 a.m., trading ceasing at 3:30 a.m. and other restrictions on alcohol service (Newcastle); and restricted entry to late-night venues after 1 a.m. and a range of restrictions on alcohol service (Hamilton). The comparators were no restrictions on late-night trading or modifications of the drinking environment (Wollongong and Maitland). Measurements involved the rate, type and timing of reported family and domestic violence assaults. Reported rates of domestic violence assaults fell at both intervention sites, while reported domestic violence assaults increased over time in the control sites. The protective effects in Newcastle were robust and statistically significant across three main models. The relative reduction associated with the intervention in Newcastle was 29% (incidence rate ratio = 0.71, 95% confidence interval: 0.60-0.83) and an estimated 204 assaults were prevented across the duration of the study. The protective effects found in Hamilton were not consistently supported across the three main models. Increases to late-night alcohol restrictions may reduce rates of domestic violence.

Consumers choice of small independent specialty stores in shopping centers during weekday extended trading hours: A qualitative study

This study explored the behavioral dynamics that is responsible for the success of the small independent specialty retailers in a shopping center during weekday extended trading hours. Drawing on literature from different areas, consumers’ shopping experiences, browsing patterns and factors influencing browsing activities in small independent specialty stores in a shopping center during weekday extended trading hours was investigated. The study was carried out in Brisbane, Australia. Two focus groups with consumers and a personal interview with an expert was performed. This research found consumers were usually goal oriented during weekday late evening trading hours and they would usually engage in browsing in-stores only when they require customer assistance. This research was also able to understand and establish the behavioural dynamics that can determine the performance of the small independent specialty stores during extended trading hours. Overall, this research suggests that the small independent specialty stores are unlikely to experience an increase in sales or attract more customers by extending the trading hours. This study makes an important step in understanding consumers demand for small independent specialty stores in categorized shopping centers during the extended trading hours. The conceptualization and findings of this research contribute to two areas of research: consumer spatial behavior and consumer information search in small independent specialty stores in a shopping center during weekday extended trading hours.

DAMPAK ALFAMART TERHADAP PENDAPATAN USAHA MIKRO DI KELURAHAN PAAL MERAH KOTA JAMBI

This research was conducted to oblain information about the impact of Alfamart on the income of micro businesses in Paal Merah Village, Jambi City. This research was conducted directly in the field using qualitative research, namely with interviews conducted in a relaxed manner, not complicating traders, and the questions asked were not interrogative but only to obtain the data needed to complete and complete the writing in this study. The results showed that before there was Alfamart the income of traders was around Rp. 1.000.000 – Rp. 6.000.000, but after the presence of Alfamart their income decreased to only Rp. 600.000 – Rp. 3.000.000 while the other 2 stores earn a steady income. One of the factors that decrease Alfamart’s income is the distance between small traders and Alfamart which is too close and the good and comfortable service provided by Alfamart. Thus, the role of strategy is very important for small traders in general, by arranging a good and comfortable store, increasing trading hours, and adding complete types of goods needed by the surrounding community, as well as good service to comsumers.

Turn-of-the-candle effect in bitcoin returns

This study discovers a statistically and economically significant intraday anomaly on Bitcoin markets. Positive returns of 0.58 bps per minute are disproportionately concentrated at the turn of 15-min candles (in minutes 0, 15, 30, and 45 of each trading hour). Average returns in other trading minutes are negative. The effect is consistent across Bitcoin exchanges, in quantile regression models, and TGARCH-M estimations with heavy tails, and persist in out-of-sample tests. A high-frequency strategy that exploits this “turn-of-the-candle” effect can be net-outperforming with initial investment as low as $5,000. The anomaly is detected in the data starting from mid-to-late 2020, is potentially associated with algorithmic trading relying on the arrival of 15-min candle information, and its discovery contributes significantly to the understanding of cryptocurrency adaptive market efficiency.

Sleeplessness, distraction and stock market performance: Evidence from the world cup

We study how sleeplessness and distraction impact global stock markets using a novel proxy, the FIFA World Cup games. Using this widely viewed sporting event, we exploit the time zone differences between countries to capture the sleeplessness from staying awake overnight and the distraction from watching matches during trading hours. We find the markets experience a − 26 basis-point daily return for a day of sleeplessness and a − 22 basis-point return due to distraction. These effects are robust to methodological changes.

Personal PM2.5 Exposure Monitoring of Informal Cooking Vendors at Indoor and Outdoor Markets in Johannesburg, South Africa.

Air pollutants of concern include particulate matter (PM) in fine size fractions. Thus far, a few studies have been conducted to study the adverse health effects of environmental and occupational air pollutants among informal vendors in big cities in South Africa. Informal vendors in these cities may experience higher exposure to road dust, cooking fumes, and air pollution. This exposure assessment was part of a health risk assessment study of vendors. The objective of this exposure assessment was to determine the differences between outdoor and indoor informal vendors' personal PM2.5 exposures during trading hours. A walkthrough survey was conducted to map the homogeneous exposure groups (HEGs) at vendor markets for sampling purposes, and one market was selected from each of the three identified HEGs. Twenty-five informal cooked food vendors from both indoor (inside buildings) and outdoor (street or roadside vendors) markets in the inner city of Johannesburg, South Africa, participated in the study. HEG-1 were vendors from indoor stalls who used electricity and gas for cooking (10 vendors), HEG-2 was composed of informal outdoor vendors at a fenced site market who used open fire for cooking (10 vendors), and HEG-3 (5 vendors) were roadside vendors who used gas for cooking. Cooking vendors from outdoor markets recorded higher TWA concentrations than indoor market vendors. The vendors' PM2.5 concentrations ranged from <0.01 mg/m3 to 0.77 mg/m3. The mean concentrations of PM2.5 were found to be 0.12 mg/m3, and 0.18 mg/m3 for HEG-2, and HEG-3, respectively. HEG-2 recorded the highest PM2.5 TWA concentrations, followed by HEG-3 and HEG-1. All concentrations were below the South African occupational exposure limit. The findings point to the need for further research into the health risks associated with outdoor cooking vendors, particularly those who utilize open fires.

Associations Between COVID-19 Alcohol Policy Restrictions and Alcohol Sales in British Columbia: Variation by Area-Based Deprivation Level.

Government alcohol sales data were used to investigate associations between estimates of per capita age 15+ alcohol consumption, policy restrictiveness, and area-level deprivation. We analyzed weekly consumption data (expressed as per capita age 15+ Canadian standard drinks [13.45 g of pure ethanol]) collected from all 89 local health areas in British Columbia, Canada, between April 2017 and April 2021. Our analyses were stratified by outlet type (total, on-premise, and off-premise). Our intervention was alcohol policy restrictiveness (operationalized by the Restrictiveness of Alcohol Policy Index), and our moderator was area-level deprivation (Canadian Index of Multiple Deprivation). The Restrictiveness of Alcohol Policy Index included hours of trading, the number of people permitted on site for on-premise venues, the proportion of outlets in operation, and the extent of permissible home delivery. Higher policy restrictiveness was associated with decreased consumption across all outlet types (ps < .001): when the most restrictive policies were implemented, consumption was reduced by 9% and 100% in off- and on-premise outlets, respectively. Area-based deprivation level modified the effect of policy restriction on per capita alcohol consumption (ps < .007): for total and off-premise consumption, the decrease was greatest among more economically deprived areas (ps < .001); for on-premise outlets, areas with a high proportion of racial and ethnic minorities increased their consumption (ps < .001). Alcohol-specific policy restrictions implemented in response to the COVID-19 pandemic were associated with reduced consumption. However, the magnitude and direction of change was moderated by area-based deprivation level, albeit inconsistently across various deprivation measures.

Classifying alcohol control policies enacted between 2000 and 2020 in Poland and the Baltic countries to model potential impact.

The study's aim is to identify and classify the most important alcohol control policies in the Baltic countries (Estonia, Latvia and Lithuania) and Poland between 2000 and 2020. Policy analysis of Baltic countries and Poland, predicting potential policy impact on alcohol consumption, all-cause mortality and alcohol-attributable hospitalizations was discussed. All Baltic countries implemented stringent availability restrictions on off-premises trading hours and different degrees of taxation increases to reduce the affordability of alcoholic beverages, as well as various degrees of bans on alcohol marketing. In contrast, Poland implemented few excise taxation increases or availability restrictions and, in fact, reduced stipulations on prior marketing bans. This classification of alcohol control policies in the Baltic countries and Poland provides a basis for future modeling of the impact of implementing effective alcohol control policies (Baltic countries), as well as the effects of loosening such policies (Poland).

Are restrictions in sales hours of alcohol associated with fewer emergency room visits in Lithuania? An interrupted time-series analysis.

On 1 January 2018, an amendment to the alcohol control law was introduced in Lithuania which, among other changes, reduced trading hours for alcoholic beverages by 4 h for weekdays and Saturdays, and by 9 h for Sundays. The objective of the current study was to quantify the potential association of this law with the numbers and types of emergency room (ER) visits in Lithuania, in general and specifically for Sundays, for all ER visits, for injury-related ER visits and specifically for alcohol poisoning as a 100% alcohol-attributable cause. Sex-stratified time-series analysis-based models for the period 2016-2019 were used to test for associations and for potential alternative explanations (e.g., the increase in minimum legal drinking age, which occurred at the same time). Overall, while the reduction in sales hours for both sexes was associated with slight increases in all types and in injury-related ER visits on a weekly basis, the association with ER visits for alcohol poisoning was in the opposite direction for men in all models. Specifically, among men, it was associated with an approximate decrease of 20% of alcohol poisoning-related ER visits on Sundays and an approximate decrease of 12% of alcohol poisoning-related ER visits for all seven weekdays. As predicted, restrictions on availability were associated with marked reductions in ER visits for alcohol poisoning in men. However, contrary to expectations, there were no overall reductions in overall ER visits, nor reductions in injury-related ER visits.

Renewable energy stocks forecast using Twitter investor sentiment and deep learning

This paper examines the impact of investor sentiment on forecasting returns and volatility for renewable energy stocks. We apply a natural language processing technique to extract investor sentiment from Twitter during both trading and non-trading hours. Forecasting analyses are conducted using a state-of-the-art hybrid deep learning technique and benchmark models. Results show that the sentiment variables hold significant add-on information not captured by standard financial market variables. Twitter investor sentiment considerably improves return and volatility forecasts of renewable energy stocks, especially when the deep learning method is employed. Our results are statistically significant and robust under different settings.

Alcohol sales in Canadian liquor outlets as a predictor of subsequent COVID-19 infection rates: a time-series analysis.

AimsGovernment alcohol sales data were used to examine whether age 15+ per‐capita alcohol consumption (PCAC) (i) changed during COVID‐19 and (ii) predicted COVID‐19 infections 2–5 weeks later.DesignInterrupted time‐series analyses were applied to panels of data before and after COVID‐19 restrictions were introduced in Canada.Setting and participantsThe populations, aged 15+, of the provinces of Ontario (ON), British Columbia (BC) and Nova Scotia (NS), Canada.InterventionExpansion of home delivery options and hours of trading for liquor stores while restrictions on travel, social and economic activities were imposed by governments during COVID‐19 from 17 March 2020 until 29 March 2021.MeasurementsWeekly estimates of (i) age 15+ PCAC using sales data supplied by provincial government alcohol distributors for liquor stores, bars and restaurants, (ii) stringency of public health measures assessed by the Public Health Agency of Canada (PHAC) and (iii) new COVID‐19 infections reported by PHAC.FindingsPCAC increased by 7.10% (P = 0.013) during the pandemic versus previous years, with increased private liquor store sales partly offset by reduced bar/restaurant sales. Consumption was positively associated with stringency of public health measures. Weekly PCAC was positively associated with new COVID‐19 infections 2 weeks later (+6.34% for a one drink/week increase, P < 0.001). Lagged associations with COVID‐19 infections 2 or 3 weeks later were observed for PCAC from all sales channels, with larger effect sizes per standard drink/person/week increase for on‐premise outlets (+77.27% week 2, P = 0.009) than government liquor stores (+6.49%, week 2, P < 0.001) or private liquor stores (+7.13%, week 4, P < 0.001).ConclusionsAlcohol consumption increased in three Canadian provinces during COVID‐19 to degrees corresponding to the extent of the strictness of measures imposed to prevent viral spread. Increased consumption of alcohol was associated with increased COVID‐19 infection rates 2 weeks later.

Dynamics of information leadership in the volatility complex with trading time changes: Evidence from VIX futures and VIX ETPs

We examine the effect of VIX futures’ new trading hours on price discovery as these causal relations have not been investigated before and are consequential for regulators and practitioners involved in the VIX futures market. Our data include VIX futures and VIX ETPs for four different periods in which trading hours were changed. Employing three different measures of information share, we find that VXX ETN leads VIX futures in 2009 and 2010, while in 2011 and 2013, the ETPs’ leadership varies depending on the exchange-traded product under consideration. Furthermore, in 2013 before the change of trading hours, the VIX futures contribute more to price discovery than they do after trading hours expansion. Less of the price discovery occurs from the exchange-traded products in the latter half of the trading period in 2010. OLS regression results of the determinants of price discovery as well as panel regression results show that the effect of volume and spread, which are the main determinants of price discovery in the prior literature, change significantly before and after futures trading hour expansions, for both VIX futures and ETPs.

Hybrid BRNN-ARIMA Model for Financial Time Series Forecasting

The accurate forecasting of time series is difficult and for exchange rate more difficult as well. Because it is difficult to predict as they continuously fluctuate during trading hours. Exchange rate forecasting plays a vital financial problem in recent era. It is extensively acknowledged that exchange rate stability implies that macroeconomic stability. In this study, a hybrid model is proposed to forecast exchange rates. Bayesian regularized neural network (BRNN) model is assembled with Autoregressive integrated moving average model (ARIMA) and develop hybrid BRNN-ARIMA model. Furthermore, the comparison of proposed hybrid model has been done with standalone BRNN, standalone ARIMA and random walk model. Quarterly exchange rate data from 1970Q1 to 2021Q2 of six countries comprises developed (UK, Canada, and Singapore) and developing (Pakistan, India, and Malaysia) are forecast. To evaluate the performance of these models RMSE, MAE and MAPE are applied. The results indicate that the proposed hybrid BRNN-ARIMA model outperforms the other studied model in forecasting exchange rates.

Market quality surrounding anticipated distraction events: Evidence from the FIFA World Cup

This study examines the effects of intra-day anticipated distraction events on market quality. This is achieved by exploiting the quasi-random nature by which FIFA World Cup football matches overlap with the domestic trading hours of participating countries. Utilizing stock market data from 24 countries and a sample of 95 football matches, I find that match days exhibit pre-match increases to trading volume and contemporaneous declines to trading activity. Market volatility follows a similar trend. Realized spreads are increased during matches. Match time is associated with increased price efficiency, suggesting reduced noise trading.

Association between Bar Closing Time, Alcohol Use Disorders and Blood Alcohol Concentration: A Cross-Sectional Observational Study of Nightlife-Goers in Perth, Australia.

Introduction and aims: Associations between bar trading hours, a government lever for controlling alcohol availability, nightlife-goer intoxication levels and their likelihood of alcohol use disorder (AUD) have not been explored. We investigated whether: (i) participant AUD was associated with blood alcohol concentration (BAC); and, (ii) any association between AUD and BAC was moderated by participant preferred bar (i.e., venue spent most time at) closing time. Design and methods: A cross-sectional observational study using a sample of nightlife-goers who went out drinking in Perth, Western Australia, on weekends in 2015-16. Participants who reported alcohol use that night and spent most time in a bar (n = 667) completed street intercept surveys including AUDIT-C (n = 459) and provided a breath sample to estimate BAC (n = 651). We used gender-specific multinomial logistic regression models to explore associations between participant AUDIT-C score (1–4, lower risk; 5–7, hazardous; 8–12, active AUD), preferred bar type (standard vs. late closing time based on absence or presence of an extended trading permit) and BAC (male: 0–0.049, 0.05–0.099, ≥0.1 g/100 mL; female: 0–0.049, 0.05–0.079, ≥0.08 g/100 mL). Results: Males with active AUD (RR = 3.31; 95% CI 1.30–8.42; p = 0.01) and females with hazardous/active AUD (RR = 9.75; 95% CI 2.78–34.21; p < 0.001) were both more likely to have high-range BAC than their counterparts typically drinking at lower risk. We also found preferred bar type moderated the association between AUDIT-C score and BAC for some males but no females. Males with active AUD and high-range BAC were less likely to prefer late closing bars than males usually drinking at lower risk and high-range BAC (RR = 0.12; 95% CI 0.02–0.96; p = 0.046). Discussion and conclusions: Our study provides evidence of positive associations between AUD and acute intoxication among nightlife-goers and on the moderating effect of bar closing times among males.

BERT’s sentiment score for portfolio optimization: a fine-tuned view in Black and Litterman model

In financial markets, sentiment analysis on natural language sentences can improve forecasting. Many investors rely on information extracted from newspapers or their feelings. Therefore, this information is expressed in their language. Sentiment analysis models classify sentences (or entire texts) with their polarity (positive, negative, or neutral) and derive a sentiment score. In this paper, we use this sentiment (polarity) score to improve the forecasting of stocks and use it as a new “view” in the Black and Litterman model. This score is related to various events (both positive and negative) that have affected some stocks. The sentences used to determine the scores are taken from articles published in Financial Times (an international financial newspaper). To improve the forecast using this average sentiment score, we use a Monte Carlo method to generate a series of possible paths for several trading hours after the article was published to discretize (or approximate) the Wiener measure, which is applied to the paths and returning an exact price as results. Finally, we use the price determined in this way to calculate a yield to be used as views in a new type of “dynamic” portfolio optimization, based on hourly prices. We compare the results by applying the views obtained, disregarding the sentiment and leaving the initial portfolio unchanged.

The path to a sustainable palm oil futures market

This study analyzes the information flow between the palm oil, soybean oil, and crude oil futures markets and proposes ways to develop the vegetable oil market, especially the palm oil futures market. In contrast to the results of a Granger causality test, we provide strong evidence that interactive cause–effect relationships exist between each pair of the three oil futures markets. Yet, the emergence of the net information flow depends on the trading volume and liquidity (i) from the crude oil futures to the two vegetable oil futures markets and (ii) from the soybean oil futures to the palm oil futures market. Our findings support the fact that the palm oil futures market is still subject to tight investment constraints and, therefore, fails to play a leading role in information discovery regarding the crude oil and soybean oil futures markets. This suggests that policymakers could pursue a series of initiatives, such as introducing US dollar-based trading and extending trading hours, to further develop the palm oil futures market and reduce market friction.

Informativeness of trades around macroeconomic announcements in the foreign exchange market

• We study the extent of private information revealed through trades in the foreign exchange market. • We find the intraday variation in the proportion of permanent price variations driven by trade-related information has a repetitive periodic pattern, • We show the information share of private information in trades evolves across trading periods in the FX markets. • We find that, among market participants, heterogeneous interpretation of announcements and opinion disagreement after the announcement are revealed from order flow, and the efficient price is still driven by information implicit in trading activities after the announcement. We study the extent to which private information is revealed through trades in the foreign exchange market. The trade informativeness measured from the VAR framework of trades and quotes allows us to quantify the impact of asymmetric information on return variation. We find the intraday variation in the proportion of permanent price variation driven by trade-related information has a repetitive periodic pattern, and trades in the overlapping trading hours of London and New York carry most information than the other time segments. The results show the fraction of trade-related component to exchange rate variation positively relates to trading volume and reversely relates to effective spread. With a comprehensive set of 48 real-time US, European, and Japanese macroeconomic news surprises variables, and controlling for the effect of trading volume, spread, and volatility, we find news of production-related economic indicator, e.g., GDP and industrial production, has a positive relationship with the trade informativeness in a trading period, suggesting the increased private information share may be attributed to heterogeneous interpretations of the announcement among market participants. Announcement-related information is gradually resolved into the price, and the information is transited via the channel of trading activities.