The Effects of Overnight Events on Daytime Return: A Market Microstructure Analysis of Market Quality

IF 2.5 Q2 ECONOMICS

Asia-Pacific Financial Markets Pub Date : 2023-09-07 DOI:10.1007/s10690-023-09424-9

Sreekha Pullaykkodi, Rajesh H. Acharya

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Abstract

This paper examines the trading and non-trading returns to diagnose the impact of market microstructure changes on market quality. The daily data of ten agricultural commodities traded on the National Commodity and Derivative Exchange (NCDEX) were used for the study. The data has been divided into three categories: year-wise, pre- and post-reform, pre-ban, and post-ban period. The study employs variance ratio analysis, and the results suggest high daytime and opening variances. A first-order autocorrelation detects the return predictability in the data series. A Value at Risk (VaR) and Expected Shortfall (ES) methods were employed to get more detail about the downside risk of the series. It suggested that daytime return has more risk compared to overnight return. Overall, this study suggests that market microstructure effects are visible in the Indian agricultural commodity market and hardly observe any improvement in the market quality. Since we reveal the impact of policy changes on market quality, the results will be useful for policymakers.

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隔夜事件对日间收益的影响——基于市场质量的市场微观结构分析

本文通过研究交易收益和非交易收益来诊断市场微观结构变化对市场质量的影响。研究使用了在国家商品及衍生品交易所（NCDEX）交易的十种农产品的每日数据。数据分为三类：按年份划分的改革前后数据、禁令前数据和禁令后数据。研究采用了方差比率分析法，结果表明白天和开盘方差较大。一阶自相关性检测了数据序列中的回报可预测性。研究还采用了风险值（VaR）和预期缺口（ES）方法，以更详细地了解数据序列的下行风险。结果表明，与隔夜收益率相比，日间收益率的风险更大。总之，本研究表明，印度农产品市场的市场微观结构效应是显而易见的，几乎没有观察到市场质量有任何改善。由于我们揭示了政策变化对市场质量的影响，因此研究结果将对政策制定者有所帮助。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Asia-Pacific Financial Markets ECONOMICS-

CiteScore

3.00

自引率

0.00%

发文量

期刊介绍： The current remarkable growth in the Asia-Pacific financial markets is certain to continue. These markets are expected to play a further important role in the world capital markets for investment and risk management. In accordance with this development, Asia-Pacific Financial Markets (formerly Financial Engineering and the Japanese Markets), the official journal of the Japanese Association of Financial Econometrics and Engineering (JAFEE), is expected to provide an international forum for researchers and practitioners in academia, industry, and government, who engage in empirical and/or theoretical research into the financial markets. We invite submission of quality papers on all aspects of finance and financial engineering. Here we interpret the term ''financial engineering'' broadly enough to cover such topics as financial time series, portfolio analysis, global asset allocation, trading strategy for investment, optimization methods, macro monetary economic analysis and pricing models for various financial assets including derivatives We stress that purely theoretical papers, as well as empirical studies that use Asia-Pacific market data, are welcome. Officially cited as: Asia-Pac Financ Markets