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What is Special about the Opening? Evidence from NASDAQ
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Cao, Charles | - |
dc.contributor.author | Choe, Hyuk | - |
dc.contributor.author | Hatheway, Frank | - |
dc.date.accessioned | 2009-03-03T04:10:19Z | - |
dc.date.available | 2009-03-03T04:10:19Z | - |
dc.date.issued | 1997 | - |
dc.identifier.citation | Seoul Journal of Business, Vol.3 No.1, pp. 1-36 | - |
dc.identifier.issn | 1226-9816 | - |
dc.identifier.uri | https://hdl.handle.net/10371/1743 | - |
dc.description.abstract | This paper reports that prices of NASDAQ stocks are more volatile around the market
opening than closing. Evidence fiom individual stocks indicates that there is a systematic relationship between the excess opening volatility and trading activity. Much of the excess opening volatility is related to two factors, bid-ask bounce and price formation. For inactively traded stocks, bid-ask bounce contributes almost all of the transitory volatility as opposed to 20?! of the transitory volatility for actively traded stocks. On the other hand, price formation is the primary source of the difference between the opening and closing variances for actively traded stocks. We also find price formation occurs in the absence of trading as quotes updated prior to the 9:30 AM. start of trading reflect new information. | - |
dc.language.iso | en | - |
dc.publisher | College of Business Administration (경영대학) | - |
dc.subject | individual stock | - |
dc.subject | opening and closing variance | - |
dc.subject | bid-ask bounce | - |
dc.title | What is Special about the Opening? Evidence from NASDAQ | - |
dc.type | SNU Journal | - |
dc.contributor.AlternativeAuthor | 최혁 | - |
dc.citation.journaltitle | Seoul Journal of Business | - |
dc.citation.endpage | 36 | - |
dc.citation.number | 1 | - |
dc.citation.pages | 1-36 | - |
dc.citation.startpage | 1 | - |
dc.citation.volume | 3 | - |
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