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An Examination of Stock Market Return Volatility During Overnight and Intraday Periods, 1964-1989
6 references·16 citing·50 second hop
An Examination of Stock Market Return Volatility During Overnight and Intraday Periods, 1964-1989 (1990)An Examination of Stock Market Return Vol…Options markets and stock return volatility (1989)Options markets and stock ret…Trading Mechanisms and Stock Returns: An Empirical Investigation (1987)Trading Mechanisms and Stock …Stock return variances (1986)Stock return variancesA transaction data study of weekly and intradaily patterns in stock returns (1986)A transaction data study of w…An Investigation of Transactions Data for NYSE Stocks (1985)An Investigation of Transacti…An Investigation of Transactions Data for NYSE Stocks (1985)An Investigation of Transacti…Asset pricing and ambiguity: Empirical evidence (2018)Asset pricing and ambiguity: …A call auction's impact on price formation and order routing: Evidence from the NASDAQ stock market (2012)A call auction's impact on pr…Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error (2008)Estimating quadratic variatio…Natural gas prices and the gas storage report: Public news and volatility in energy futures markets (2004)Natural gas prices and the ga…Futures trading, spot market volatility, and market efficiency: The case of the Korean index futures markets (2004)Futures trading, spot market …Trading and Returns under Periodic Market Closures (2000)Trading and Returns under Per…Do macroeconomics news releases affect gold and silver prices? (2000)Do macroeconomics news releas…Does futures trading increase stock market volatility? The case of the Nikkei stock index futures markets (1999)Does futures trading increase…Intraday effects of foreign exchange intervention by the Bank of Japan (1998)Intraday effects of foreign e…Crude oil prices between 1985 and 1994: how volatile in relation to other commodities? (1998)Crude oil prices between 1985…Volatility in Wheat Spot and Futures Markets, 1950-1993: Government Farm Programs, Seasonality, and Causality (1996)Volatility in Wheat Spot and …THE EMPIRICAL RELATIONSHIP BETWEEN TRADING VOLUME, RETURNS AND VOLATILITY (1996)THE EMPIRICAL RELATIONSHIP BE…Economic news and equity market linkages between the U.S. and U.K. (1995)Economic news and equity mark…Price Formation on Stock Exchanges: The Evolution of Trading within the Day (1994)Price Formation on Stock Exch…Trading Halts and Market Activity: An Analysis of Volume at the Open and the Close (1992)Trading Halts and Market Acti…Stock index futures listing and structural change in time‐varying volatility (1992)Stock index futures listing a…The Behavior of Stock-Market Prices (1965)Stock returns and the weekend effect (1980)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Do Brokerage Analysts' Recommendations Have Investment Value? (1996)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Asset pricing and the bid-ask spread (1986)The theory and practice of econometrics (1986)The Informational Content of Implied Volatility (1993)Liquidity and Asset Prices (2006)Do ETFs Increase Volatility? (2014)The General Theory of Employment, Interest and Money. (1936)Expected stock returns and volatility (1987)Why Does Stock Market Volatility Change Over Time? (1989)Trading and Liquidity on the Tokyo Stock Exchange: A Bird's Eye View (1994)Strategic trading, asymmetric information and heterogeneous prior beliefs (1998)The cross-section of intraday and overnight returns (2021)The econometrics of ultra-high frequency data /Misspecification of capital asset pricing (1981)The relationship between return and market value of common stocks (1981)The Dependence between Hourly Prices and Trading Volume (1988)Statistical properties of the volatility of price fluctuations (1999)How Markets Process Information: News Releases and Volatility (1993)The Short-Run Dynamics of the Price Adjustment to New Information (1995)The Effects of Macroeconomic News on High Frequency Exchange Rate Behavior (1998)Impact of the federal open market committee's meetings and scheduled macroeconomic news on stock market uncertainty (2004)The effects of economic news on commodity prices (2010)The GOLD market as a safe haven against the stock market uncertainty: Evidence from geopolitical risk (2020)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Option Trading, Price Discovery, and Earnings News Dissemination* (1997)The Impact of Options Trading on the Market Quality of the Underlying Security: An Empirical Analysis (1998)Stock price clustering on option expiration dates (2005)Continuous Auctions and Insider Trading (1985)The manipulation of closing prices (2004)Optimal Trading Strategy and Supply/Demand Dynamics (2005)Brownian Motion and Stochastic Calculus (2007)The Analysis of Economic Time-Series-Part I: Prices (1953)Some New Stock-Market Indexes (1966)Risk measurement when shares are subject to infrequent trading (1979)Predicting stock market volatility: A new measure (1995)High frequency data in financial markets: Issues and applications (1997)Multifractal analysis of financial markets: a review (2019)The Pricing of Options and Corporate Liabilities (1973)Advances in prospect theory: Cumulative representation of uncertainty (1992)Ambiguity, Volatility, and Credit Risk (2016)Uncertainty Aversion and Systemic Risk (2018)Economic policy uncertainty and exchange rates in emerging markets: Short and long runs evidence (2019)Theory of games and economic behavior (2019)Stock Market Structure and Volatility (1990)Trade Size and Components of the Bid-Ask Spread (1995)
this work references cited by second hop

References

  • 1986Stock return variances1,813 cited
  • 1986A transaction data study of weekly and intradaily patterns in stock returns813 cited
  • 1987Trading Mechanisms and Stock Returns: An Empirical Investigation769 cited
  • 1985An Investigation of Transactions Data for NYSE Stocks554 cited
  • 1985An Investigation of Transactions Data for NYSE Stocks534 cited
  • 1989Options markets and stock return volatility282 cited

Cited by

  • 2018Asset pricing and ambiguity: Empirical evidence213 cited
  • 2000Trading and Returns under Periodic Market Closures190 cited
  • 1992Trading Halts and Market Activity: An Analysis of Volume at the Open and the Close187 cited
  • 2000Do macroeconomics news releases affect gold and silver prices?171 cited
  • 1996THE EMPIRICAL RELATIONSHIP BETWEEN TRADING VOLUME, RETURNS AND VOLATILITY160 cited
  • 1992Stock index futures listing and structural change in time‐varying volatility150 cited
  • 1995Economic news and equity market linkages between the U.S. and U.K.138 cited
  • 1998Crude oil prices between 1985 and 1994: how volatile in relation to other commodities?138 cited
  • 2008Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

120 cited
  • 1998Intraday effects of foreign exchange intervention by the Bank of Japan119 cited
  • 1996Volatility in Wheat Spot and Futures Markets, 1950-1993: Government Farm Programs, Seasonality, and Causality102 cited
  • 2004Futures trading, spot market volatility, and market efficiency: The case of the Korean index futures markets95 cited
  • 1994Price Formation on Stock Exchanges: The Evolution of Trading within the Day91 cited
  • 2004Natural gas prices and the gas storage report: Public news and volatility in energy futures markets90 cited
  • 2012A call auction's impact on price formation and order routing: Evidence from the NASDAQ stock market89 cited
  • 1999Does futures trading increase stock market volatility? The case of the Nikkei stock index futures markets86 cited