Asymmetric return–volatility relation around the clock

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.