Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 方伟明教授 (金融学系) |
全文
| 数位物件识别号 (DOI) http://dx.doi.org/10.1016/S1059-0560(96)90032-5 |
引用次数
Scopushttp://aims.cuhk.edu.hk/converis/portal/Publication/5Scopus source URL
其它资讯
摘要This study compares the volatility after NYSE's trading halts with the volatility after pseudo-halts. Every pseudo-halt is a period of continuous trading matching the corresponding trading halt in stock, sign of excess (or net-of-market) return, duration, and time of day. No pseudo-halt can be within 10 trading days before or after a trading halt of the same stock. Each pseudo-halt slightly over-matches or slightly undermatches in absolute excess return the corresponding trading halt. The average absolute during-pseudo-halt excess return is insignificantly different from the average absolute during-halt excess return, so that the during-pseudo-halt volatility should be, on average, similar to the during-halt volatility. The main result of this study is that the post-halt volatility (measured as the absolute excess returns of 30-trading-minute intervals) is significantly larger than the post-pseudo-halt volatility for less than two trading hours after the market re-opens. ? 1996 JAI Press Inc. All rights of reproduction of any form reserved.
着者Fong W.-M.
期刊名称INTERNATIONAL REVIEW OF ECONOMICS & FINANCE
出版年份1996
月份12
日期1
卷号http://aims.cuhk.edu.hk/converis/portal/Publication/5
期次3
出版社Elsevier BV
出版地Netherlands
页次243 - 2http://aims.cuhk.edu.hk/converis/portal/Publication/57
国际标準期刊号10http://aims.cuhk.edu.hk/converis/portal/Publication/59-0http://aims.cuhk.edu.hk/converis/portal/Publication/560
电子国际标準期刊号1873-8036
语言英式英语
