Hostname: page-component-78c5997874-4rdpn Total loading time: 0 Render date: 2024-11-15T17:38:50.102Z Has data issue: false hasContentIssue false
  • English
  • Français

Abstract: Stock Returns over Open and Closed Trading Periods

Published online by Cambridge University Press:  06 April 2009

George S. Oldfield Jr  and
Richard J. Rogalski
Get access Rights & Permissions [Opens in a new window]

Extract

Random stock returns result from irregular vibrations of a share's price through time. Divide any arbitrary time interval into two mutually exclusive and exhaustive sets. One set contains time periods when trading is formally open on an organized market such as the New York Stock Exchange (NYSE). Its complement contains closed trading time periods, i.e., when the NYSE is not open. Conventional theory assumes that the same return process operates over all periods in both sets. No allowance is made for possible differences in the return sequence between sets or among time periods within each set. There are reasons to assume that such differences may exist. For example, during a trading day, stock prices fluctuate as orders are executed. During nights, weekends, holidays, and holiday-weekends there are no transactions, but a share's value from close to open on the next trading day may still change to reflect revised expectations about a firm's productivity. In fact, capital changes and important news items are usually announced after the stock exchanges close.

Type
IV. Empirical Studies Relating to the Structure of Securities Markets
Information
Journal of Financial and Quantitative Analysis , Volume 14 , Issue 4 , November 1979 , pp. 807 - 811
Copyright
Copyright © School of Business Administration, University of Washington 1979

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

[1]Anderson, T. W., and Darling, D. A.. “A Test of Goodness of Fit. Journal of the American Statistical Association, Vol. 51 (1954), pp. 765–769.CrossRefGoogle Scholar
[2]Fama, , Eugene, F “rdquo;The Behavior of Stock Market Prices.” Journal of Business, Vol. 38 (1965), pp. 34–105.Google Scholar
[3]Fama, , Eugene, FFoundations of Finance. New York: Basic Books (1976).Google Scholar
[4]Granger, C. W. J., and Morgenstern, O.. Predictability of Stock Market Prices. Lexington, Mass.: D. C. Heath and Company (1970).Google Scholar
[5]Johnson, , Norman, L, and Katz, Samuel. Continuous Univariate Distributions-1, Boston: Houghton Mifflin (1970).Google Scholar
[6]Mood, , Alexander, M; Graybill, Franklin A.; and Boes, Duane C.. Introduction to the Theory of Statistics, 3rd ed.New York: McGraw-Hill Book Company (1974).Google Scholar
[7]Oldfield, , George, S; Rogalski, Richard J.; and Jarrow, Robert A.. ”An Autoregressive Jump Process for Common Stock Returns.” Journal of Financial Economics, Vol. 5 (1977), pp. 389–418.CrossRefGoogle Scholar
[8]Parkinson, , Michael, . ”Option Pricing: The American Put.” Journal of Business, Vol. 49 (1976), pp. 21–36.Google Scholar
[9]Siegel, S. Nonparametric Statistics. New York: McGraw-Hill Book Company (1956).Google Scholar