隔夜和日间收益的统计分析
Statistical analysis of the overnight and daytime return
摘要：
我们研究了1988年至2007年纽约证券交易所2215只股票的每日总收益（收盘至收盘）的两个组成部分，隔夜收益（收盘至开盘）和日间收益（开盘至收盘），以及相应的波动率。分析了波动率的尾部分布、序列的长期记忆性以及不同收益率之间的互相关性。研究结果表明：（1）两个成分的收益率和波动率具有与总收益率和波动率相似的特征。波动率服从幂律分布，波动率序列存在长期相关性，而收益率序列不存在长期相关性。(ii)日间收益对总收益的贡献较大。与隔夜记录相比，日间波动率的尾部分布和长期记忆与总波动率的尾部分布和长期记忆更相似。此外，日间收益率与总收益率的交叉相关性也较强。(iii)这两个组成部分的回报往往是反相关的。此外，我们发现，在整个20年期间，三种不同回报率（总回报率、隔夜回报率和日间回报率）之间的交叉相关性相当稳定。
英文摘要：
We investigate the two components of the total daily return (close-to-close), the overnight return (close-to-open) and the daytime return (open-to-close), as well as the corresponding volatilities of the 2215 NYSE stocks from 1988 to 2007. The tail distribution of the volatility, the long-term memory in the sequence, and the cross-correlation between different returns are analyzed. Our results suggest that: (i) The two component returns and volatilities have similar features as that of the total return and volatility. The tail distribution follows a power law for all volatilities, and long-term correlations exist in the volatility sequences but not in the return sequences. (ii) The daytime return contributes more to the total return. Both the tail distribution and the long-term memory of the daytime volatility are more similar to that of the total volatility, compared to the overnight records. In addition, the cross-correlation between the daytime return and the total return is also stronger. (iii) The two component returns tend to be anti-correlated. Moreover, we find that the cross-correlations between the three different returns (total, overnight, and daytime) are quite stable over the entire 20-year period.
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