TRADING HALTS AND MARKET ACTIVITY - AN ANALYSIS OF VOLUME AT THE OPEN AND THE CLOSE

• 成果类型: Article
• 署名作者: GERETY, MS; MULHERIN, JH
• 署名单位: Dartmouth College
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.2307/2328995
• 发表日期: 1992
• 页码: 1765-1784
• 关键词: CURRENCY FUTURES MARKET; volatility; MODEL; returns; tests

摘要

This paper analyzes how the daily opening and closing of financial markets affect trading volume. We model the desire to trade at the beginning and end of the day as a function of overnight return volatility. NYSE data from 1933-88 indicate that closing volume is positively related to expected overnight volatility, while volume at the open is positively related to both expected and unexpected volatility from the previous night. We interpret the symmetric response of trading at the open and the close to expected volatility as being due to investor heterogeneities in the ability to bear risk when the market is closed. This desire of investors to trade prior to market closings indicates a cost of mandating marketwide circuit breakers.