The Impact of Delivery Terms on Stock Return Volatility
Ramon P. DeGennaro
University of Tennessee, Knoxville - Department of Finance
Michigan State University - The Eli Broad College of Business and The Eli Broad Graduate School of Management
Journal of Financial Services Research, Vol. 3, No. 2
The application of generalized ARCH models to daily stock returns shows that changes in delivery and payment terms
are an important factor in determining measured volatility. In contrast, the holding period between trading days when markets are closed is relatively unimportant. This new approach allows fresh insights into stock return volatility and indicates that subsequent research on stock return volatility should incorporate the effects of payment delays.
Keywords: Stock returns, volatility, market closings, GARCH
JEL Classification: G1, G2Accepted Paper Series
Date posted: April 8, 2003
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