Volatility, Efficiency, and Trading: Evidence from the Japanese Stock Market
利用日本东京证券交易所每日两次的定期清算数据，研究交易机制和交易时间对股票收益行为的影响，发现开盘清算噪音大且效率低，而午间清算与收盘交易表现相当。
ABSTRACT We study the joint effect of the trading mechanism and the time at which transactions take place on the behavior of stock returns using data from Japan. The Tokyo Stock Exchange employs a periodic clearing procedure twice a day, at the opening of both the morning and the afternoon sessions. This enables us to discern the effect of the clearing mechanism from the effect of the overnight trading halt. While the periodic clearing at the beginning of the trading day is noisy and inefficient, the midday clearing transaction appears to be no worse than the two closing transactions.