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- W3172127168 abstract "We examine price volatility in corporate bond markets using the 24-hour variance ratio methodology. We find that the open-to-open return volatility is on average higher than the close-to close return volatility. This implies that the market mechanism at open affects the price volatility of the bond markets. We find that, in the early 2000s, the return volatility at open is more than 50 percent larger than at the close. In recent years, however, the volatility of open-to-open returns has decreased by almost half, which implies an improving opening procedure for the bond markets." @default.
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- W3172127168 date "2021-01-01" @default.
- W3172127168 modified "2023-10-16" @default.
- W3172127168 title "Bond market structure and volatility" @default.
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- W3172127168 doi "https://doi.org/10.2139/ssrn.3831296" @default.
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