Trading and returns under periodic market closures

Journal of Finance

Volumn 55, Issue 1, 2000, Pages 297-354

  Hong, Harrison ^a   Wang, Jiang ^a  

^a ASSOCIATION OF SUPER ADVANCED ELECTRONICS TECHNOLOGIES ASET   (Japan)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0039622549     PISSN: 00221082     EISSN: None     Source Type: Journal    
DOI: 10.1111/0022-1082.00207     Document Type: Article

References (59)

1. Admati, Anat R., and Paul Pfleiderer, 1988, A theory of intraday patterns: Volume and price variability, Review of Financial Studies 1, 3-40.
2. Admati, Anat R., and Paul Pfleiderer, 1989, Divide and conquer: A theory of intraday and day of the week mean effects, Review of Financial Studies 1, 189-223.
3. Ahlfors, Lars V., 1979, Complex Analysis (McGraw-Hill Book Co., New York).
4. Amihud, Yakov, and Haim Mendelson, 1987, Trading mechanisms and stock returns: An empirical investigation, Journal of Finance 42, 533-553.
5. Amihud, Yakov, and Haim Mendelson, 1991, Volatility, efficiency and trading: Evidence from the Japanese stock market, Journal of Finance 46, 1765-1791.
6. Andersen, Torben, and Tim Bollerslev, 1997, Intraday periodicity and volatility persistence in financial markets, Journal of Empirical Finance 4, 115-158.
7. Barclay, Michael J., Robert H. Litzenberger, and Jerold B. Warner, 1990, Private information, trading volume, and stock return variances, Review of Financial Studies 3, 233-253.
8. Border, Kim, 1985, Fixed Point Theorems with Applications to Economics and Game Theory (Cambridge University Press, Cambridge, U.K.).
9. Brock, William A., and Allan W. Kleidon, 1992, Periodic market closure and trading volume: A model of intraday bids and asks, Journal of Economic Dynamics and Control 16, 451-489.
10. Cao, Charles, Hyuk Choe, and Frank Hatheway, 1995, What is special about the opening? Evidence from Nasdaq, Working paper, Pennsylvania State University.
11. Campbell, John Y., and Albert S. Kyle, 1993, Smart money, noise trading, and stock price behavior, Review of Economic Studies 60, 1-34.
12. Chan, K. C., Wai-Ming Fong, Bong-Chan Kho, and René M. Stulz, 1996, Information, trading and stock returns: Lessons from dually-listed securities, Journal of Banking & Finance 20, 1161-1187.
13. Cronin, Jane, 1994, Differential Equations: Introduction and Qualitative Theory (Marcel Dekker, New York).
14. Doob, Joseph L., 1991, Measure Theory (Springer-Verlag, New York).
15. Fama, Eugene F., 1965, The behavior of stock market prices, Journal of Business 38, 34-105.
16. Foster, F. Douglas, and S. Viswanathan, 1990, A theory of interday variations in volume, variance, and trading costs in securities markets, Review of Financial Studies 3, 593-624.
17. Foster, F. Douglas, and S. Viswanathan, 1993, The effect of public information and competition on trading volume and price volatility, Review of Financial Studies 6, 23-56.
18. French, Kenneth R., 1980, Stock returns and the weekend effect, Journal of Financial Economics 8, 55-69.
19. French, Kenneth R., and Richard Roll, 1986, Stock return variances: The arrival of information and the reaction of traders, Journal of Financial Economics 17, 5-26.
20. Gerety, Mason S., and Harold Mulherin, 1994, Price formation on stock exchanges: The evolution of trading within the day, Review of Financial Studies 7, 609-629.
21. Gibbons, Michael R., and Patrick Hess, 1981, Day of the week effects and asset returns, Journal of Business 54, 579-596.
22. Grossman, Sanford J., 1976, On the efficiency of competitive stock markets where traders have diverse information, Journal of Finance 31, 573-585.
23. Grossman, Sanford J., 1981, An introduction to the theory of rational expectations under asymmetric information, Review of Economic Studies 48, 541-559.
24. Harris, Lawrence, 1986, A transaction data study of weekly and intradaily patterns in stock returns, Journal of Financial Economics 16, 99-117.
25. Harris, Lawrence, 1988, Intraday stock return patterns; in Elroy Dimson, ed.: Stock Market Anomalies (Cambridge University Press, Cambridge, U.K.).
26. Harris, Lawrence, 1989, A day-end transaction price anomaly, Journal of Financial and Quantitative Analysis 24, 29-45.
27. Harrison, J. Michael, and Stanley R. Pliska, 1981, Martingales and stochastic integrals in the theory of continuous trading, Stochastic Process Applications 11, 215-260.
28. He, Hua, and Jiang Wang, 1995, Differential information and dynamic behavior of stock trading volume, Review of Financial Studies 8, 919-972.
29. Hong, Harrison, and Jiang Wang, 1998, Trading and returns under periodic market closures, Working paper, MIT Sloan School of Management.
30. Huang, Chi-fu, 1985, Information structure and equilibrium asset prices, Journal of Economic Theory 35, 33-71.
31. Huang, Jennifer, and Jiang Wang, 1997, Market structure, security prices and informational efficiency, Macroeconomic Dynamics 1, 169-205.
32. Jain, Prem, and Gun-Ho Joh, 1988, The dependence between hourly prices under transactions and return uncertainty, Journal of Financial and Quantitative Analysis 23, 269-283.
33. Jazwinski, Andrew H., 1970, Stochastic Processes and Filtering Theory (Academic Press, New York).
34. Karatzas, Ioannis, and Steven E. Shreve, 1988, Brownian Motion and Stochastic Calculus (Springer, New York).
35. Keim, Donald, and Robert Stambaugh, 1984, A further investigation of weekend effect in stock returns, Journal of Finance 39, 819-835.
36. Keller, Herbert B., 1992, Numerical Methods for Two-point Boundary Value Problems (Dover Publications, New York).
37. Kleidon, Allan, and Ingrid Werner, 1996, U.K. and U.S. trading of British cross-listed stocks: An intraday analysis of market integration, Review of Financial Studies 9, 619-644.
38. Kubicek, Milan, 1983, Numerical Solution of Nonlinear Boundary Value Problems with Applications (Prentice-Hall, Englewood Cliffs, N.J).
39. Kyle, Albert, 1985, Continuous auctions and insider trading, Econometrica 53, 1315-1335.
40. Lighthill, M. James, 1958, Introduction to Fourier Analysis and Generalized Functions (Cambridge University Press, Cambridge, U.K.).
41. Liptser, Robert S., and Albert N. Shiryayev, 1977, Statistics of Random Processes, Volume I (Springer-Verlag, New York).
42. Liptser, Robert S., and Albert N. Shiryayev, 1978, Statistics of Random Processes, Volume II (Springer-Verlag, New York).
43. Lockwood, Larry J., and Scott C. Linn, 1990, An examination of stock market return volatility during overnight and intraday periods, 1964-1989, Journal of Finance 45, 591-601.
44. Merton, Robert C., 1969, Lifetime portfolio selection under uncertainty: The continuous time case, Review of Economics and Statistics 51, 247-257.
45. Merton, Robert C., 1971, Optimal consumption and portfolio rules in a continuous time model, Journal of Economic Theory 3, 373-413.
46. Merton, Robert C., 1990, Continuous-Time Finance (Blackwell, Oxford, U.K.).
47. Oldfield, George S., and Richard J. Rogalski, 1980, A theory of common stock returns over trading and non-trading periods, Journal of Finance 35, 729-751.
48. Protter, Murray H., and Charles B. Morrey, 1991, A First Course in Real Analysis (Springer-Verlag, New York).
49. Rogalski, Richard, 1984, New findings regarding day-of-the-week returns over trading and non-trading periods: A note, Journal of Finance 35, 1603-1614.
50. Rubinstein, Mark, 1974, An aggregation theorem for security markets, Journal of Financial Economics 3, 201-224.
51. Slezak, Steve L., 1994, A theory of the dynamics of security returns around market closures, Journal of Finance 49, 1163-1212.
52. Smirlock, Michael, and Laura Starks, 1986, Day-of-the-week and intraday effects in stock returns, Journal of Finance 35, 197-210.
53. Spiegel, Matthew, and Avanidhar Subrahmanyam, 1995, On intraday risk premium, Journal of Finance 50, 319-340.
54. Stoll, Hans, and Robert Whaley, 1990, Stock market structure and volatility, Review of Financial Studies 3, 37-71.
55. Vayanos, Dimitri, 1999, Strategic trading and welfare in a dynamic market, Review of Economic Studies 66, 219-254.
56. Wang, Jiang, 1993, A model of intertemporal asset prices under asymmetric information, Review of Economic Studies 60, 249-282.
57. Wang, Jiang, 1994, A model of competitive stock trading volume, Journal of Political Economy 102, 127-168.
58. Wonham, William M., 1968, On a matrix Riccati equation of stochastic control, SIAM Journal of Control 6, 681-697.
59. Wood, Robert A., Thomas H. McInish, and J. Keith Ord, 1985, An investigation of transaction data for NYSE stocks, Journal of Finance 40, 723-741.