LUNCH BREAK AND INTRADAY VOLATILITY OF STOCK RETURNS - AN HOURLY DATA-ANALYSIS OF TOKYO AND NEW-YORK STOCK MARKETS

被引：16
|
作者：
ITO, T
LIN, WL
机构：
[1] UNIV WISCONSIN,DEPT ECON,MADISON,WI 53706
[2] HITOTSUBASHI UNIV,KUNITACHI,TOKYO 186,JAPAN
来源：
ECONOMICS LETTERS | 1992年 / 39卷 / 01期
关键词：
D O I：
10.1016/0165-1765(92)90106-9
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Unlike the New York Stock Exchange, the Tokyo Stock Exchange shuts down for a lunch break. This paper analyzes effects of this institutional feature on volatility of stock returns. We show that the lack of trading itself reduces the volatility.
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页码：85 / 90
页数：6
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