Opening and Closing Asymmetry: Empirical Analysis from ISE Xetra

摘要: Overnight news yields difficulties for price discovery at market opening culminating in additional return volatility. Biais et al. (2007) show prices are sensitive to order flow from the pre-trading session. We investigate existence of volatility asymmetry between and closing returns trader over-reaction on Irish Stock Exchange (ISE). Opening ISE follows a non-transparent estimate 10 per cent more volatile than returns. This is significantly smaller compared other exchanges, such as LSE. The LSE operates under transparent session, which susceptible manipulation. implement an ARMA(1,1) framework speed reaction news. Over-reaction recorded morning auction but magnitude when international markets with 'non-binding' orders. level reversal bolsters argument. 30 overnight one third taking place first thirty minutes trading.