Trading Halts and Market Activity: An Analysis of Volume at the Open and the Close
分析金融市场每日开盘和收盘如何影响交易量，发现收盘交易量与预期隔夜波动正相关，开盘交易量与预期和意外波动均正相关，表明投资者在闭市前交易的需求反映了强制熔断的成本。
ABSTRACT This paper analyzes how the daily opening and closing of financial markets affect trading volume. We model the desire to trade at the beginning and end of the day as a function of overnight return volatility. NYSE data from 1933–88 indicate that closing volume is positively related to expected overnight volatility, while volume at the open is positively related to both expected and unexpected volatility from the previous night. We interpret the symmetric response of trading at the open and the close to expected volatility as being due to investor heterogeneities in the ability to bear risk when the market is closed. This desire of investors to trade prior to market closings indicates a cost of mandating marketwide circuit breakers.