TITLE:
Research on the Daily Volatility Measure Considering the Impact of Overnight Variance and Time Segment in Chinese Stock Market
AUTHORS:
Yu Shi, Handong Li
KEYWORDS:
Overnight Volatility, Chinese Stock Market, Realized Volatility
JOURNAL NAME:
Journal of Mathematical Finance,
Vol.8 No.3,
August
7,
2018
ABSTRACT: Considering the overnight effect on the stock market, we construct a daily
volatility measure that is formed by a linear combination of the three components,
namely overnight volatility, morning realized volatility and afternoon
realized volatility, and obtain the optimal solution in theory. An empirical
work is performed for studying the daily volatility structure of Shanghai
stock index and Shenzhen stock index in China’s stock market by using our
daily volatility measure. The empirical results show that, the daily volatility
measure considering the impact of overnight variance and time segment performs
better than original volatility measure.