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An Examination of Stock Market Return Volatility During Overnight and Intraday Periods, 1964–1989
Author(s) -
LOCKWOOD LARRY J.,
LINN SCOTT C.
Publication year - 1990
Publication title -
the journal of finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 18.151
H-Index - 299
eISSN - 1540-6261
pISSN - 0022-1082
DOI - 10.1111/j.1540-6261.1990.tb03705.x
Subject(s) - volatility (finance) , futures contract , economics , futures market , stock market , stock (firearms) , stock market index , financial economics , stock index futures , econometrics , monetary economics , geography , context (archaeology) , archaeology
This paper examines the variance of hourly market returns during 1964–1989. Results indicate that return volatility falls from the opening hour until early afternoon and rises thereafter and is significantly greater for intraday versus overnight periods. Market variance is also shown to change significantly over time, rising after NASDAQ began in 1971, rising after trading in stock options began in 1973, falling after fixed commissions were eliminated in 1975, rising after trading in stock index futures was introduced in 1982, and falling after margin requirements for stock index futures became larger in 1988.