Asymmetric return–volatility relation around the clock

Erin H. Kao*, Donald Lien, Tsung wu Ho

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

6 Citations (Scopus)


This study examines the return-realized volatility (RV) relation at daily and intraday frequencies. Using daily data, we find the contemporaneous return is the dominating factor for RV, which is in support of the behavioral explanation. For intraday data, we further find a significantly positive (negative) relation between contemporaneous positive (negative) return and RV, which is consistent with prospect theory. Quantile regression analysis documents a U-shaped (inverted U-shaped) contemporaneous return-volatility relation for positive (negative) returns across volatility quantiles during the daytime trading period. In addition, we find the affect heuristic is more aggressive at overnight trading period.

Original languageEnglish
Pages (from-to)178-202
Number of pages25
JournalReview of Financial Economics
Issue number2
Publication statusPublished - 2021 Apr


  • affect heuristic
  • prospect theory
  • realized volatility
  • return-volatility relation

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics


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