Asymmetric return–volatility relation around the clock

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

*此作品的通信作者

研究成果: 雜誌貢獻期刊論文同行評審

摘要

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.

原文英語
頁(從 - 到)178-202
頁數25
期刊Review of Financial Economics
39
發行號2
DOIs
出版狀態接受/付印 - 2020

ASJC Scopus subject areas

  • 金融
  • 經濟學與計量經濟學

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