Equity markets volatility clustering: A multiscale analysis of intraday and overnight returns

Xiaojun Zhao, Na Zhang, Yali Zhang, Chao Xu and Pengjian Shang

Journal of Empirical Finance, 2024, vol. 77, issue C

Abstract: Volatility clustering, widely observed in daily equity market returns, has not been analyzed for high-resolution intraday and overnight returns, nor has its time scale dependency been systematically explored. This paper examines the volatility clustering of intraday and overnight returns in 15 global equity markets, both developed and emerging. Findings reveal universal volatility clustering in intraday and overnight returns across various time scales, from daily to monthly and beyond. It appears that the volatility clustering of overnight returns is even more pronounced than intraday returns. However, the cross clustering between two volatility series is generally weak within each market. These observations suggest both short- and long-term investment risks, providing meaningful insights for equity market investors’ risk management.

Keywords: Volatility clustering; Multiscale analysis; Intraday return; Overnight return (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:empfin:v:77:y:2024:i:c:s0927539824000227

DOI: 10.1016/j.jempfin.2024.101487

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