TY  - JOUR
T1  - UTILIZING THE INFORMATION CONTENT OF TRADING AND NON-TRADING PERIODS INCLUDING LUNCH BREAKS FOR STOCK MARKET VOLATILITY FORECASTING
AU  - Tseng, Tseng-chan
AU  - Huang, Chih
PY  - 2025
DA  - July
Y2  - 2025
DO  - 10.17261/Pressacademia.2025.1962
JF  - Journal of Economics Finance and Accounting
JO  - JEFA
PB  - Suat TEKER
WT  - DergiPark
SN  - 2148-6697
SP  - 1
EP  - 9
VL  - 12
IS  - 1
LA  - en
AB  - Purpose- This study investigates the empirical effects of information dissemination dynamics across active trading sessions and market closures on Chinese stock market volatility.Methodology- This paper uses intraday data to explore the influences of information transmission during trading and non-trading periods (including lunch breaks that divide each trading day into two distinct sessions) on volatility in China’s stock markets, and to forecast such volatility through modelling. Findings- Its findings demonstrate that absolute overnight return and positive lunch break return both play important roles in future volatility. Moreover, the empirical results suggest that morning-session RRV is positively linked with volatility over longer prediction horizons, and afternoon-session RRV, with volatility over shorter ones. Conclusion- Finally, this paper proposes that a simplified model, which only considers morning-session RRV, can improve the accuracy of prediction of future realized volatility.
KW  - Overnight returns
KW  - trading volume
KW  - lunch break returns
KW  - morning and afternoon sessions
KW  - realized range-based volatility
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UR  - https://doi.org/10.17261/Pressacademia.2025.1962
L1  - https://dergipark.org.tr/en/download/article-file/5103498
ER  -