LOG IN⠴ݱâ

  • ȸ¿ø´ÔÀÇ ¾ÆÀ̵ð¿Í Æнº¿öµå¸¦ ÀÔ·ÂÇØ ÁÖ¼¼¿ä.
  • ȸ¿øÀÌ ¾Æ´Ï½Ã¸é ¾Æ·¡ [ȸ¿ø°¡ÀÔ]À» ´­·¯ ȸ¿ø°¡ÀÔÀ» ÇØÁֽñ⠹ٶø´Ï´Ù.

¾ÆÀ̵ð ÀúÀå

   

¾ÆÀ̵ð Áߺ¹°Ë»ç⠴ݱâ

HONGGIDONG ˼
»ç¿ë °¡´ÉÇÑ È¸¿ø ¾ÆÀ̵ð ÀÔ´Ï´Ù.

E-mail Áߺ¹È®ÀÎ⠴ݱâ

honggildong@naver.com ˼
»ç¿ë °¡´ÉÇÑ E-mail ÁÖ¼Ò ÀÔ´Ï´Ù.

¿ìÆí¹øÈ£ °Ë»ö⠴ݱâ

°Ë»ö

SEARCH⠴ݱâ

ºñ¹Ð¹øÈ£ ã±â

¾ÆÀ̵ð

¼º¸í

E-mail

ÇмúÀÚ·á °Ë»ö

The Effects of Infrequent Trading and Overnight Trading Halts on the Returns Behavior

  • Kwangsoo Ko Assistant Professor, Division of Business Administration, School of Business and Economics, Pusan National University,
This paper investigates the effects of infrequent trading and overnight trading halts on the overnight and daytime returns behavior. Previous empirical studies of market microstructure document the variance and covariance structure of intra- and inter-day stock returns. Many of them try to explain their findings by bid- ask spread. This study, however, explains it by the effects of infrequent trading and overnight trading halts. A model is developed for explaining various returns behavior based on the existence of infrequent trading and overnight trading halts. Empirical evidence is presented for KOSPI All Share, Large Cap, Small Cap indices. The empirical results confirm the validity of the model proposed in this study.

  • Kwangsoo Ko
This paper investigates the effects of infrequent trading and overnight trading halts on the overnight and daytime returns behavior. Previous empirical studies of market microstructure document the variance and covariance structure of intra- and inter-day stock returns. Many of them try to explain their findings by bid- ask spread. This study, however, explains it by the effects of infrequent trading and overnight trading halts. A model is developed for explaining various returns behavior based on the existence of infrequent trading and overnight trading halts. Empirical evidence is presented for KOSPI All Share, Large Cap, Small Cap indices. The empirical results confirm the validity of the model proposed in this study.
Infrequent Trading,Overnight Trading Halts,Overnight and Daytime Returns,Close-to-Close Return,Open-to-Open Return