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- W2000386316 abstract "Stock markets perpetually accumulate information. During trading hours the price instantaneously reacts to new information, but accumulated overnight information reacts simultaneously on the opening price. This can create opening price uctuations. This study explores the overnight information e ects on intra-da stock market volatility. GARCH models and the VKOSPI model are provided. Empirical data includes daily opening and closing prices of the KOSPI 200 index and the VKOSPI from March 2008 to June 2010. Empirical results show that the VKOSPI signi cantly decrease during trading time when positiv overnight information moves the Korean stock upward. This study provides useful information to investors since the Korea Exchange plans to introduce a futures market for the VKOSPI soon." @default.
- W2000386316 created "2016-06-24" @default.
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- W2000386316 date "2010-10-31" @default.
- W2000386316 modified "2023-10-03" @default.
- W2000386316 title "Overnight Information E ects on Intra-Day Stoc Market Volatility" @default.
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- W2000386316 doi "https://doi.org/10.5351/kjas.2010.23.5.823" @default.
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