The impact of non-trading periods on the measurement of volatility

Yaw Huei Wang, Yu Jen Hsiao

Research output: Contribution to journalArticlepeer-review

5 Citations (Scopus)


Based upon the theory of the "arrival of news", the main purpose of this paper is to investigate the impact of non-trading periods on the measurement of volatility for the S&P 500, FTSE 100, and TAIEX indices. Using an adaptation of the GJR (1,1) model, we find that both weekday holiday periods and half-day trading periods have significant impacts on the estimation of volatility for the S&P 500 and FTSE 100 indices. On the other hand, weekends have significant impacts for the TAIEX index. Our findings imply that for the UK and US markets, much less relevant information is produced during weekends, while more relevant information continues to be produced during other types of non-trading periods. However, the weekend volatility of the Taiwan market is specially driven because the US macro news is announced on Fridays and the trading time of the US market is later than that of the Taiwan market without any overlapping.

Original languageEnglish
Pages (from-to)607-620
Number of pages14
JournalReview of Pacific Basin Financial Markets and Policies
Issue number4
Publication statusPublished - Dec 2010
Externally publishedYes


  • GJR
  • Volatility
  • intraday
  • non-trading periods

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics


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