Detecting Asymmetric Effects in the Overnight and Intraday Dynamics: Evidence from China'S Stock Market

Author:

Zhao Xiaojun,Lv Mingxuan,Wen Xin

Publisher

Elsevier BV

Reference46 articles.

1. Overnight returns and firm-specific investor sentiment;D Aboody;Journal of Financial and Quantitative Analysis,2018

2. Overnight stock returns and realized volatility;K Ahoniemi;International Journal of Forecasting,2013

3. Decomposed oil price shocks and GCC stock market sector returns and volatility;N Al-Fayoumi;Energy Economics,2023

4. Stock return autocorrelations revisited: A quantile regression approach;D G Baur;Journal of Empirical Finance,2012

5. The impact of COVID-19 on S&P500 sector indices and FATANG stocks volatility: An expanded APARCH model;J D Curto;Finance Research Letters,2022

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