College of Business Administration, University of Texas-Arlington and University of Oklahoma, respectively. Tom McInish, Merton Miller, Marc Reinganum, Mike Rozeff, Clifford Smith, and an anonymous referee are gratefully acknowledged for comments and suggestions they made on earlier drafts of this paper.
An Examination of Stock Market Return Volatility During Overnight and Intraday Periods, 1964–1989
Article first published online: 30 APR 2012
1990 The American Finance Association
The Journal of Finance
Volume 45, Issue 2, pages 591–601, June 1990
How to Cite
LOCKWOOD, L. J. and LINN, S. C. (1990), An Examination of Stock Market Return Volatility During Overnight and Intraday Periods, 1964–1989. The Journal of Finance, 45: 591–601. doi: 10.1111/j.1540-6261.1990.tb03705.x
- Issue published online: 30 APR 2012
- Article first published online: 30 APR 2012
This paper examines the variance of hourly market returns during 1964–1989. Results indicate that return volatility falls from the opening hour until early afternoon and rises thereafter and is significantly greater for intraday versus overnight periods. Market variance is also shown to change significantly over time, rising after NASDAQ began in 1971, rising after trading in stock options began in 1973, falling after fixed commissions were eliminated in 1975, rising after trading in stock index futures was introduced in 1982, and falling after margin requirements for stock index futures became larger in 1988.