Trading and Returns under Periodic Market Closures
研究市场关闭如何影响投资者的交易策略和回报生成过程，发现关闭会导致交易和回报随时间呈现丰富的变化模式，包括U型波动、开盘收盘交易活跃等，并能使价格更反映未来收益。
This paper studies how market closures affect investors' trading policies and the resulting return‐generating process. It shows that closures generate rich patterns of time variation in trading and returns, including those consistent with empirical findings: (1) U‐shaped patterns in the mean and volatility of returns over trading periods, (2) higher trading activity around the close and open, (3) more volatile open‐to‐open returns than close‐to‐close returns, (4) higher returns over trading periods than over nontrading periods, (5) more volatile returns over trading periods than over nontrading periods. It also shows that closures can make prices more informative about future payoffs.