Does systematic risk change when markets close? An analysis using stocks’ beta
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DOI: 10.1016/j.econmod.2022.105782
Abstract: Investors' behavior and news or events occurring during the market closure affect open price variation. For these reasons, daytime and overnight returns and volatilities move differently. In light of these effects, it is natural to… read more here.
Keywords: risk; market; risk change; change markets ... See more keywords