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Bad Days and Good Nights: A Re-Examination of Non-Traded and Traded Period Returns

38 Pages Posted: 6 Mar 2008  

Zvi Wiener

Hebrew University of Jerusalem - Jerusalem School of Business Administration

Robert Tompkins

Business School of Finance & Management (HfB) - Bankakademie Group

Date Written: March 4, 2008

Abstract

We find an anomaly for traded and non-traded period returns for major non-US stock markets. Returns were significantly negative over trading periods and positive over non-traded periods, while for US stock markets, both non-traded and traded period returns were positive. This anomaly appears to be due to differences in regulatory risk management requirements for equity derivative market-makers. The introduction of Basle I based capital requirements appears to have amplified the anomaly.

Keywords: Stock Market Anomalies, Return Decomposition, Close to Open, Open to Close, Skewness, Kurtosis, Basle I, Capital Requirements, Risk Management

JEL Classification: C15, G13, G19

Suggested Citation

Wiener, Zvi and Tompkins, Robert, Bad Days and Good Nights: A Re-Examination of Non-Traded and Traded Period Returns (March 4, 2008). Available at SSRN: https://ssrn.com/abstract=1102165 or http://dx.doi.org/10.2139/ssrn.1102165

Zvi Wiener

Hebrew University of Jerusalem - Jerusalem School of Business Administration ( email )

Mount Scopus
Jerusalem, 91905
Israel
(972)-2-588-3049 (Phone)
(972)-2-588-3105 (Fax)

HOME PAGE: http://pluto.mscc.huji.ac.il/~mswiener/zvi.html

Robert George Tompkins (Contact Author)

Business School of Finance & Management (HfB) - Bankakademie Group ( email )

Frankfurt
Germany
(069) 154008-718 (Phone)

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