The Rhythm of the Night: Some Anomalies in Open and Close Prices of Polish and German Blue-Chip Stocks

Hermann Locarek-Junge () and Stefan Albers ()
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Hermann Locarek-Junge: Technische Universität Dresden (Dresden University of Technology)
Stefan Albers: Technische Universität Dresden (Dresden University of Technology)

A chapter in Contemporary Trends and Challenges in Finance, 2020, pp 3-20 from Springer

Abstract: Abstract Stock returns on many stock exchanges worldwide are much higher when markets are closed for trading versus when they are open. We evaluate this temporal market anomaly with respect to market betas and volatility for the example of the WIG20 index in the Warsaw stock exchange and the German DAX. We provide an in-depth characterization of stock returns, emphasise the importance to decompose return components and reveal fundamental differences between Polish and German stock markets. Furthermore, we address possible reasons for the higher rates of night returns, e.g. news flow, liquidity and bid-ask spreads.

Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:spr:prbchp:978-3-030-43078-8_1

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DOI: 10.1007/978-3-030-43078-8_1

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