Tsai, Kuo-Ting; Lih, Jiann-Shing; Ko, Jing-Yuan - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 24, pp. 6497-6505
This study examines statistical regularities among three components of stocks and indices: daytime (trading hour) return, overnight (off-hour session) return, and total (close-to-close) return. Owing to the fact that the Taiwan Stock Exchange (TWSE) has the longest non-trading periods among...