IDEAS home Printed from https://ideas.repec.org/a/taf/apfiec/v7y1997i6p689-694.html
   My bibliography  Save this article

The impact of settlement time on the volatility of stock markets

Author

Listed:
  • Dong Li
  • Shao-King Lin
  • Chulin Li

Abstract

In this paper we investigate the impact of the switching from the same-day settlement to the following-day settlement on the market volatility and its structure. Using the Levene tests and bootstrap procedures, we find that the switching causes a drastic decrease in the stock market volatility. In addition, using a modified GARCH model, we also find a substantial change in the volatility structure, which implies that the markets become less efficient after the switching since the volatility shocks are less quickly assimilated in the stock markets.

Suggested Citation

  • Dong Li & Shao-King Lin & Chulin Li, 1997. "The impact of settlement time on the volatility of stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 7(6), pages 689-694.
    • Handle: RePEc:taf:apfiec:v:7:y:1997:i:6:p:689-694
    DOI: 10.1080/758533861
    as

    Download full text from publisher

    File URL: http://www.tandfonline.com/doi/abs/10.1080/758533861
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/758533861?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Sang Bin Lee & Ki Yool Ohk, 1992. "Stock index futures listing and structural change in time‐varying volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 12(5), pages 493-509, October.
    2. Lamoureux, Christopher G & Lastrapes, William D, 1990. "Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects," Journal of Finance, American Finance Association, vol. 45(1), pages 221-229, March.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Isabel Parra-Frutos, 2009. "The behaviour of the modified Levene’s test when data are not normally distributed," Computational Statistics, Springer, vol. 24(4), pages 671-693, December.
    2. Yongyang Su & Lan Zheng, 2011. "The Impact of Securities Transaction Taxes on the Chinese Stock Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 47(0), pages 32-46, January.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Athanasia Gavala & Nikolay Gospodinov & Deming Jiang, 2006. "Forecasting volatility," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(6), pages 381-400.
    2. Michelle B Graczyk & Sílvio M Duarte Queirós, 2017. "Intraday seasonalities and nonstationarity of trading volume in financial markets: Collective features," PLOS ONE, Public Library of Science, vol. 12(7), pages 1-23, July.
    3. Sabbaghi, Omid & Sabbaghi, Navid, 2011. "Carbon Financial Instruments, thin trading, and volatility: Evidence from the Chicago Climate Exchange," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(4), pages 399-407.
    4. Zou, Yongjie & Li, Honggang, 2014. "Time spans between price maxima and price minima in stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 395(C), pages 303-309.
    5. Elsayed, Ahmed H. & Asutay, Mehmet & ElAlaoui, Abdelkader O. & Bin Jusoh, Hashim, 2024. "Volatility spillover across spot and futures markets: Evidence from dual financial system," Research in International Business and Finance, Elsevier, vol. 71(C).
    6. Do, Hung Xuan & Brooks, Robert & Treepongkaruna, Sirimon & Wu, Eliza, 2014. "How does trading volume affect financial return distributions?," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 190-206.
    7. Uctum, Remzi & Renou-Maissant, Patricia & Prat, Georges & Lecarpentier-Moyal, Sylvie, 2017. "Persistence of announcement effects on the intraday volatility of stock returns: Evidence from individual data," Review of Financial Economics, Elsevier, vol. 35(C), pages 43-56.
    8. Hunjra, Ahmed Imran & Azam, Muhammad & Niazi, Ghulam Shabbir Khan & Butt, Babar Zaheer & Rehman, Kashif-Ur- & Azam, Rauf i, 2010. "Risk and return relationship in stock market and commodity prices: a comprehensive study of Pakistani markets," MPRA Paper 40662, University Library of Munich, Germany.
    9. Kritika Mathur & Nidhi Kaicker & Raghav Gaiha & Katsushi S. Imai & Ganesh Thapa, 2014. "Financialisation of food commodity markets, price surge and volatility: new evidence," Chapters, in: Raghbendra Jha & Raghav Gaiha & Anil B. Deolalikar (ed.), Handbook on Food, chapter 7, pages 149-176, Edward Elgar Publishing.
    10. Wen-Ling Lin & Takatoshi Ito, 1994. "Price Volatility and Volume Spillovers between the Tokyo and New York Stock Markets," NBER Chapters, in: The Internationalization of Equity Markets, pages 309-343, National Bureau of Economic Research, Inc.
    11. Roxana Chiriac & Valeri Voev, 2011. "Modelling and forecasting multivariate realized volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(6), pages 922-947, September.
    12. Pyun, Chong Soo & Lee, Sa Young & Nam, Kiseok, 2000. "Volatility and information flows in emerging equity market: A case of the Korean Stock Exchange," International Review of Financial Analysis, Elsevier, vol. 9(4), pages 405-420.
    13. Sandmann, G. & Koopman, Siem, 1996. "Maximum likelihood estimation of stochastic volatility models," LSE Research Online Documents on Economics 119161, London School of Economics and Political Science, LSE Library.
    14. Gary McCormick & Dan W. French, 2016. "Effects of frequent information disclosure: the case of daily net asset value reporting for closed-end investment companies," Review of Quantitative Finance and Accounting, Springer, vol. 46(1), pages 107-122, January.
    15. Loredana Ureche-Rangau & Quiterie de Rorthays, 2009. "More on the volatility-trading volume relationship in emerging markets: The Chinese stock market," Journal of Applied Statistics, Taylor & Francis Journals, vol. 36(7), pages 779-799.
    16. Holmes, Phil & Rougier, Jonathan, 2005. "Trading volume and contract rollover in futures contracts," Journal of Empirical Finance, Elsevier, vol. 12(2), pages 317-338, March.
    17. Kausik Chaudhuri & Alok Kumar, 2015. "A Markov-Switching Model for Indian Stock Price and Volume," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 14(3), pages 239-257, December.
    18. Stéphane Yen & Ming-Hsiang Chen, 2010. "Open interest, volume, and volatility: evidence from Taiwan futures markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 34(2), pages 113-141, April.
    19. Wang, Zijun & Qian, Yan & Wang, Shiwen, 2018. "Dynamic trading volume and stock return relation: Does it hold out of sample?," International Review of Financial Analysis, Elsevier, vol. 58(C), pages 195-210.
    20. Stavros Degiannakis & Alexandra Livada & Epaminondas Panas, 2008. "Rolling-sampled parameters of ARCH and Levy-stable models," Applied Economics, Taylor & Francis Journals, vol. 40(23), pages 3051-3067.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:7:y:1997:i:6:p:689-694. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAFE20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.