An Examination of Stock Market Return Volatility During Overnight and Intraday Periods, 1964–1989

Lockwood, Larry J.; Linn, Scott C.

doi:10.1111/j.1540-6261.1990.tb03705.x

Cited by 188 publications

(86 citation statements)

References 14 publications

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“…Different patterns of volatility have been found in several works in financial literature such the work of Lockwood and Linn (1990) where they examine the variance of hourly market returns on the Nasdaq, indicating that return volatility falls from the opening hour until early afternoon and rises thereafter and is significantly greater for intraday versus overnight periods. Andersen and Bollerslev (1997) study and find evidence of strong intraday periodicity and seasonality of two different asset classes, foreign exchange and securities, traded under widely different market structures.…”

Section: Review Of Previous Empirical Workmentioning

confidence: 99%

Market microstructure – a high frequency analysis of volume and volatility intraday patterns across the Brazilian stock market.

2015

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We investigate market microstructure with high frequency data for all stocks that participate in the Ibovespa index, traditional and influential Latin American index. Market microstructure has been widely investigated in developed markets however not many studies focus on developing countries-456 -Market microstructure -a high frequency analysis of volume and volatility intraday patterns across the brazilian stock market RESUMONeste estudo, investigamos a microestrutura de mercado, com dados de alta frequência, para todas as ações que participam do Ibovespa, tradicional e influente índice da América Latina. Embora a microestrutura de mercado tenha sido amplamente investigada em mercados desenvolvidos, não há muitos estudos acerca de países em desenvolvimento, como o Brasil. Tendo isso em vista, modelamos a volatilidade por meio de um método simples, usando o desvio padrão como proxy, e classificamos o volume de negociação de todas as ações do Ibovespa, em cada intervalo de 10 minutos dos pregões amostrados. Encontramos resultados semelhantes aos de investigações anteriores documentados na literatura financeira, como o padrão em forma de L para a volatilidade e o em forma de U para o volume. Outro achado interessante é que, durante o tempo de negociação mais ativa (o intervalo que compreende o fechamento), há quedas de volatilidade, enquanto que, no segundo momento de negociação mais ativo (a abertura), há uma alta volatilidade.Palavras-chave: Intraday, Volatilidade, Volume, Microestrutura de Mercado.

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Section: Review Of Previous Empirical Workmentioning

confidence: 99%

Market microstructure – a high frequency analysis of volume and volatility intraday patterns across the Brazilian stock market.

2015

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“…Different patterns of volatility have been found in several contributions in the financial literature, such as the work of Lockwood and Linn (1990). The authors examined the variance of hourly market returns on the NASDAQ.…”

Section: Literature Overviewmentioning

confidence: 99%

Trading volume and volatility patterns across selected Central European stock markets from microstructural perspective

Gurgul¹,

Syrek²

2017

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“…11 Lockwood and Linn (1990) report that the Page test appears to be extremely powerful, especially if an a priori ordering is believed to exist. 12 In this case, the ordinary use of χ 2 tables is equivalent to a two-sided test of the null hypothesis.…”

Section: S Am Ple P Eriod -By-p Erio D R Etu Rn V Olatility O N Th E mentioning

confidence: 99%

“…Then, results are reported for each sub-period in Table 4. The null hypothesis H0 is examined first with the Brown-Forsythe (1974) modified Levene (1960) test statistic, already utilized in a study by Lockwood and Linn (1990) on stock market return volatility. The statistic is computed as:…”

Section: S Am Ple P Eriod -By-p Erio D R Etu Rn V Olatility O N Th E mentioning

confidence: 99%

The Microstructure of Currency Markets: An Empirical Model of Intra-day Return and Bid-Ask Spread Behavior

Pasquariello

2001

SSRN Journal

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This paper analyzes the intra-day relationship between bid-ask spreads and "market" return volatility for quotes posted in a truly global "around-the-clock" market setting, the one for the U.S. Dollar/Deutschemark exchange rate. We are able to identify a statistically and economically significant "Reverse U-shaped" pattern in the bid-offer spread in 1996. Tests of the stability and ordering of "market" volatility, performed across several different fractions of the day, reveal that variances of intra-day returns are heterogeneous and ordered, declining around the Asian lunch break, increasing steadily during the London morning trading hours, peaking at the opening of New York to subsequently fall with the closing of the European markets. Results also indicate that "market" volatility is significantly higher during intra-day versus overnight periods. Then, we introduce a structural model that attempts to explain those empirical regularities by capturing some currencyspecific features of the data: possibly asymmetric and stochastic trading cost structure, discrete directional updates and parameters' temporal heterogeneity, and by relating the bid-ask spread to two different sources of variation: trading costs and market risk. We evaluate these components via GMM using a set of convenient unconditional intra-day moments implied by the basic configuration of the model. Analysis of the resulting estimated patterns reveals that trading costs play a significant role in explaining the intra-day variability of bid and offer currency returns. Inventory considerations appear to be more relevant in the trading morning and by London's closing, while the perceived risk of arrival of informed trades seems more likely to affect the dealers' cost structure during the late morning/early afternoon in London, when the bid-ask spread is highest. The contribution of the "true" currency risk to the total variability of the posted bid and ask quotes' returns is not surprisingly highest at the opening of the European markets. Jumps are more likely to occur during the London morning hours and less likely by the end of the day. Additionally, the estimated upward jump size is higher than the estimated discrete downward adjustment. This evidence suggests that during 1996 central banks unsuccessfully attempted to resist the devaluation trend of the Deutschemark versus the dollar. JEL Classification: C51, F31

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An Examination of Stock Market Return Volatility During Overnight and Intraday Periods, 1964–1989

Cited by 188 publications

References 14 publications

Market microstructure – a high frequency analysis of volume and volatility intraday patterns across the Brazilian stock market.

Market microstructure – a high frequency analysis of volume and volatility intraday patterns across the Brazilian stock market.

Trading volume and volatility patterns across selected Central European stock markets from microstructural perspective

The Microstructure of Currency Markets: An Empirical Model of Intra-day Return and Bid-Ask Spread Behavior

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