Empirical differences between the overnight and day trading hour returns

Volume: 8, Issue: 3, Pages: 315 - 331
Published: Aug 20, 2018
Abstract
Purpose The purpose of this paper is to provide a stable model which covers market information of return to examine the empirical differences between the returns during night and day in Chinese commodity futures market. Design/methodology/approach Commodity indices are constructed using principal components analysis to represent the market returns for day and night trading in the Chinese commodity futures market. Then VAR models are employed to...
Paper Details
Title
Empirical differences between the overnight and day trading hour returns
Published Date
Aug 20, 2018
Volume
8
Issue
3
Pages
315 - 331
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