UTILIZING THE INFORMATION CONTENT OF TRADING AND NON-TRADING PERIODS INCLUDING LUNCH BREAKS FOR STOCK MARKET VOLATILITY FORECASTING

Tseng-chan Tseng; Chih Huang

doi:10.17261/Pressacademia.2025.1962

UTILIZING THE INFORMATION CONTENT OF TRADING AND NON-TRADING PERIODS INCLUDING LUNCH BREAKS FOR STOCK MARKET VOLATILITY FORECASTING

Abstract

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.

Keywords

References

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Details

Primary Language

English

Subjects

Finance, Finance and Investment (Other), Business Administration

Journal Section

Research Article

Authors

Tseng-chan Tseng ^* This is me
0000-0001-5259-817X
China

Chih Huang This is me
0000-0002-0822-7723
China

Publication Date

July 30, 2025

Submission Date

February 1, 2025

Acceptance Date

May 4, 2025

Published in Issue

Year 2025 Volume: 12 Number: 1

DOI

https://doi.org/10.17261/Pressacademia.2025.1962

IZ

https://izlik.org/JA64ZW93LM

Cite

RIS / Bibtex

APA

Tseng, T.- chan, & Huang, C. (2025). UTILIZING THE INFORMATION CONTENT OF TRADING AND NON-TRADING PERIODS INCLUDING LUNCH BREAKS FOR STOCK MARKET VOLATILITY FORECASTING. Journal of Economics Finance and Accounting, 12(1), 1-9. https://doi.org/10.17261/Pressacademia.2025.1962

AMA

1.Tseng T chan, Huang C. UTILIZING THE INFORMATION CONTENT OF TRADING AND NON-TRADING PERIODS INCLUDING LUNCH BREAKS FOR STOCK MARKET VOLATILITY FORECASTING. JEFA. 2025;12(1):1-9. doi:10.17261/Pressacademia.2025.1962

Chicago

Tseng, Tseng-chan, and Chih Huang. 2025. “UTILIZING THE INFORMATION CONTENT OF TRADING AND NON-TRADING PERIODS INCLUDING LUNCH BREAKS FOR STOCK MARKET VOLATILITY FORECASTING”. Journal of Economics Finance and Accounting 12 (1): 1-9. https://doi.org/10.17261/Pressacademia.2025.1962.

EndNote

Tseng T- chan, Huang C (July 1, 2025) UTILIZING THE INFORMATION CONTENT OF TRADING AND NON-TRADING PERIODS INCLUDING LUNCH BREAKS FOR STOCK MARKET VOLATILITY FORECASTING. Journal of Economics Finance and Accounting 12 1 1–9.

IEEE

[1]T.- chan Tseng and C. Huang, “UTILIZING THE INFORMATION CONTENT OF TRADING AND NON-TRADING PERIODS INCLUDING LUNCH BREAKS FOR STOCK MARKET VOLATILITY FORECASTING”, JEFA, vol. 12, no. 1, pp. 1–9, July 2025, doi: 10.17261/Pressacademia.2025.1962.

ISNAD

Tseng, Tseng-chan - Huang, Chih. “UTILIZING THE INFORMATION CONTENT OF TRADING AND NON-TRADING PERIODS INCLUDING LUNCH BREAKS FOR STOCK MARKET VOLATILITY FORECASTING”. Journal of Economics Finance and Accounting 12/1 (July 1, 2025): 1-9. https://doi.org/10.17261/Pressacademia.2025.1962.

JAMA

1.Tseng T- chan, Huang C. UTILIZING THE INFORMATION CONTENT OF TRADING AND NON-TRADING PERIODS INCLUDING LUNCH BREAKS FOR STOCK MARKET VOLATILITY FORECASTING. JEFA. 2025;12:1–9.

MLA

Tseng, Tseng-chan, and Chih Huang. “UTILIZING THE INFORMATION CONTENT OF TRADING AND NON-TRADING PERIODS INCLUDING LUNCH BREAKS FOR STOCK MARKET VOLATILITY FORECASTING”. Journal of Economics Finance and Accounting, vol. 12, no. 1, July 2025, pp. 1-9, doi:10.17261/Pressacademia.2025.1962.

Vancouver

1.Tseng-chan Tseng, Chih Huang. UTILIZING THE INFORMATION CONTENT OF TRADING AND NON-TRADING PERIODS INCLUDING LUNCH BREAKS FOR STOCK MARKET VOLATILITY FORECASTING. JEFA. 2025 Jul. 1;12(1):1-9. doi:10.17261/Pressacademia.2025.1962