| dc.contributor | 國貿系 | en_US |
| dc.creator (作者) | 謝淑貞 | zh_TW |
| dc.creator (作者) | Wang,Fengzhong ; Shieh,Shwu-Jane; Shlomo Havlin; H. Eugene Stanley | en_US |
| dc.date (日期) | 2009 | en_US |
| dc.date.accessioned | 25-Nov-2014 11:42:11 (UTC+8) | - |
| dc.date.available | 25-Nov-2014 11:42:11 (UTC+8) | - |
| dc.date.issued (上傳時間) | 25-Nov-2014 11:42:11 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/71657 | - |
| dc.description.abstract (摘要) | We investigate the two components of the total daily return (close-to-close), the overnight return (close-to-open) and the daytime return (open-to-close), as well as the corresponding volatilities of the 2215 NYSE stocks from 1988 to 2007. The tail distribution of the volatility, the long-term memory in the sequence, and the cross-correlation between different returns are analyzed. Our results suggest that: (i) The two component returns and volatilities have similar features as that of the total return and volatility. The tail distribution follows a power law for all volatilities, and long-term correlations exist in the volatility sequences but not in the return sequences. (ii) The daytime return contributes more to the total return. Both the tail distribution and the long-term memory of the daytime volatility are more similar to that of the total volatility, compared to the overnight records. In addition, the cross-correlation between the daytime return and the total return is also stronger. (iii) The two component returns tend to be anti-correlated. Moreover, we find that the cross-correlations between the three different returns (total, overnight, and daytime) are quite stable over the entire 20-year period. | en_US |
| dc.format.extent | 574727 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.relation (關聯) | PHYSICAL REVIEW E 79, 056109 | en_US |
| dc.title (題名) | Statistical analysis of the overnight and daytime return | en_US |
| dc.type (資料類型) | article | en |
