An Examination of Stock Market Return Volatility During Overnight and Intraday Periods, 1964–1989
分析了1964-1989年间每小时市场收益的方差，发现日内波动高于隔夜，且波动性随时间变化，与NASDAQ启动、期权交易、佣金改革、股指期货引入及保证金调整等事件相关。
ABSTRACT This paper examines the variance of hourly market returns during 1964–1989. Results indicate that return volatility falls from the opening hour until early afternoon and rises thereafter and is significantly greater for intraday versus overnight periods. Market variance is also shown to change significantly over time, rising after NASDAQ began in 1971, rising after trading in stock options began in 1973, falling after fixed commissions were eliminated in 1975, rising after trading in stock index futures was introduced in 1982, and falling after margin requirements for stock index futures became larger in 1988.