Transitory Price Changes and Price-Limit Rules: Evidence from the Tokyo Stock Exchange
比较东京证券交易所股票的开盘价与收盘价24小时回报波动率，发现活跃股票开盘波动更大，且涨跌停规则显著影响价格动态。
We compare the volatility of 24-hour returns computed from the opening and closing prices of a diverse sample of Tokyo Stock Exchange (TSE) stocks. We find that volatility at the open is greater than volatility at the close only for the most actively traded TSE stocks. Daytime and overnight return covariances suggest that the volatility patterns are explained by the effect of implicit bid-ask spreads at the open and partial price adjustment at the close, both of which are related to the intensity of trading. Our results challenge the view that open-to-open returns are more volatile than close-to-close returns for stocks, in general, and are consistent with the hypothesis that TSE price limit rules have a significant impact on the dynamics of security prices.