S&P 500 Index, Day Returns and Night Returns of Korean Stock, and Their Relationship

• 발행기관: 한국자료분석학회
• 저자명: Keebong Park
• 간행물 정보: 『Journal of The Korean Data Analysis Society (JKDAS)』Vol.16 No.1, 41~55쪽, 전체 15쪽
• 주제분류: 자연과학 > 통계학
• 파일형태: PDF
• 발행일자: 2014.02.28

영문 초록

This study investigates whether overnight information can affect close-to-open returns and open-to-close returns differently. S&P 500 index returns are employed as overnight information. First, this study finds a significant difference between open-to-close return and close-to-open return variances. The second finding is that the close-to-open returns (Ct-1Ot) of Korea stocks are positively associated with yesterday S&P 500 index returns. On the contrary, the negative correlation appears between yesterday S&P 500 index returns and open-to-close returns (OtCt). The third finding is that as foreign investor ownership increases the impact of S&P 500 index on close-to-open returns is enforced, whether it is positive or negative. Stocks not being owned by foreign investors too respond negatively to the returns of S&P 500 indexes during a daytime and positively during overnight. This response can be understood by the comovement of asset price.

목차

1. Introduction

2. Related literature and hypothesis development

3. Data and methodology

4. Empirical analysis

5. Conclusion

References

키워드

Variance ratio Close-to-open Open-to-close S&P 500 index