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arXiv · 0903.0993

Statistical analysis of the overnight and daytime return

Fengzhong Wang·Shwu-Jane Shieh·Shlomo Havlin·H. Eugene Stanley
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Abstract

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.

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Fengzhong Wang, Shwu-Jane Shieh, Shlomo Havlin, H. Eugene Stanley. 2009-03-05. Statistical analysis of the overnight and daytime return. https://doi.org/10.1103/physreve.79.056109

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