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• W2065375908 abstract "This study examines statistical regularities among three components of stocks and indices: daytime (trading hour) return, overnight (off-hour session) return, and total (close-to-close) return. Owing to the fact that the Taiwan Stock Exchange (TWSE) has the longest non-trading periods among major markets, the TWSE is selected to explore the correlation among the three components and compare it with major markets such as the New York Stock Exchange (NYSE) and the National Association of Securities Dealers Automated Quotation (NASDAQ). Analysis results indicate a negative cross correlation between the sign of daytime return and the sign of overnight return; possibly explaining why most stocks feature a negative cross correlation between daytime return and overnight return [F. Wang, S.-J. Shieh, S. Havlin, H.E. Stanley, Statistical analysis of the overnight and daytime return, Phys. Rev. E 79 (2009) 056109]. Additionally, the cross correlation between the magnitude of returns is analyzed. According to those results, a larger magnitude of overnight return implies a higher probability that the sign of the following daytime return is the opposite of the sign of overnight return. Namely, the predictability of daytime return might be improved when a stock undergoes a large magnitude of overnight return. Furthermore, the cross correlations of 29 indices of worldwide markets are discussed. ► The cross correlation of daytime, overnight and total returns are analyzed. ► We try to find out the origin of negative cross correlation among the three returns. ► The sign correlation among the three returns is calculated. ► The predictability of daytime return is improved under a large overnight return." @default.
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• W2065375908 date "2012-12-01" @default.
• W2065375908 modified "2023-09-27" @default.
• W2065375908 title "The overnight effect on the Taiwan stock market" @default.
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• W2065375908 doi "https://doi.org/10.1016/j.physa.2012.07.010" @default.
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