https://scholars.lib.ntu.edu.tw/handle/123456789/414911
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Wang Y.-H. | en_US |
dc.contributor.author | Hsiao Y.-J. | en_US |
dc.creator | Hsiao Y.-J.;Wang Y.-H. | - |
dc.date.accessioned | 2019-07-24T02:42:55Z | - |
dc.date.available | 2019-07-24T02:42:55Z | - |
dc.date.issued | 2010 | - |
dc.identifier.issn | 02190915 | - |
dc.identifier.uri | https://scholars.lib.ntu.edu.tw/handle/123456789/414911 | - |
dc.description.abstract | Based upon the theory of the "arrival of news", the main purpose of this paper is to investigate the impact of non-trading periods on the measurement of volatility for the S&P 500, FTSE 100, and TAIEX indices. Using an adaptation of the GJR (1,1) model, we find that both weekday holiday periods and half-day trading periods have significant impacts on the estimation of volatility for the S&P 500 and FTSE 100 indices. On the other hand, weekends have significant impacts for the TAIEX index. Our findings imply that for the UK and US markets, much less relevant information is produced during weekends, while more relevant information continues to be produced during other types of non-trading periods. However, the weekend volatility of the Taiwan market is specially driven because the US macro news is announced on Fridays and the trading time of the US market is later than that of the Taiwan market without any overlapping. ? 2010 World Scientific Publishing Co. and Center for Pacific Basin Business, Economics and Finance Research. | - |
dc.language | English | - |
dc.relation.ispartof | Review of Pacific Basin Financial Markets and Policies | - |
dc.subject | GARCH | - |
dc.subject | GJR | - |
dc.subject | intraday | - |
dc.subject | non-trading periods | - |
dc.subject | Volatility | - |
dc.title | The impact of non-trading periods on the measurement of volatility | en_US |
dc.type | journal article | en |
dc.identifier.doi | 10.1142/S0219091510002098 | - |
dc.identifier.scopus | 2-s2.0-78650888320 | - |
dc.identifier.url | https://www.scopus.com/inward/record.uri?eid=2-s2.0-78650888320&doi=10.1142%2fS0219091510002098&partnerID=40&md5=496b770d809926514687dd34cf5f3ff2 | - |
dc.relation.pages | 607-620 | - |
dc.relation.journalvolume | 13 | - |
dc.relation.journalissue | 4 | - |
item.cerifentitytype | Publications | - |
item.fulltext | no fulltext | - |
item.openairecristype | http://purl.org/coar/resource_type/c_6501 | - |
item.openairetype | journal article | - |
item.grantfulltext | none | - |
Appears in Collections: | 財務金融學系 |
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