The University of Dublin | Trinity College -- Ollscoil Átha Cliath | Coláiste na Tríonóide
Trinity's Access to Research Archive
Home :: Log In :: Submit :: Alerts ::

Economic and Social Review >
Economic and Social Review Archive: Complete Collection 1969- >

Please use this identifier to cite or link to this item:

Title: Opening and closing asymmetry: empirical analysis from ISE Xetra
Author: Kelly, Robert J.
Keywords: Stock market
Share prices
Issue Date: 2008
Publisher: Economic & Social Research Institute
Citation: Kelly, Robert J. 'Opening and closing asymmetry: empirical analysis from ISE Xetra'. - Economic & Social Review, Vol. 39, No. 1, Spring, 2008, pp. 55–78, Dublin: Economic & Social Research Institute
Abstract: Overnight news yields difficulties for price discovery at market opening culminating in additional return volatility. Biais et al. (2007) show opening prices are sensitive to order flow from the pre-trading session. We investigate the existence of volatility asymmetry between opening and closing returns and trader over-reaction on the Irish Stock Exchange (ISE). Opening on the ISE follows a non-transparent pre-trading session. We estimate opening returns are 10 per cent more volatile than closing returns. This is significantly smaller compared to other exchanges, such as LSE. The LSE operates under a transparent pre-trading session, which is susceptible to order flow manipulation. We implement an ARMA(1,1) framework to investigate the speed of trader reaction to news. Over-reaction is recorded at the morning auction but is smaller in magnitude when compared to international markets with transparent pre-trading and ‘non-binding’ orders. The level of price reversal bolsters the over-reaction argument. We estimate a 30 per cent reversal of overnight returns with one third taking place in the first thirty minutes of trading.
Description: Paper delivered at the Twenty-First Annual Conference of the Irish Economic Association, Bunclody, Co. Wexford, April 25–27, 2007
ISSN: 00129984
Appears in Collections:The Economic and Social Review, Vol. 39, No. 1, Spring, 2008
Economic and Social Review Archive: Complete Collection 1969-

Files in This Item:

File Description SizeFormat
04 Kelly.pdfPublished (publisher's copy) - Peer Reviewed183.54 kBAdobe PDFView/Open

This item is protected by original copyright

Please note: There is a known bug in some browsers that causes an error when a user tries to view large pdf file within the browser window. If you receive the message "The file is damaged and could not be repaired", please try one of the solutions linked below based on the browser you are using.

Items in TARA are protected by copyright, with all rights reserved, unless otherwise indicated.


Valid XHTML 1.0! DSpace Software Copyright © 2002-2010  Duraspace - Feedback