@article{4dd09aa636f84fdd95a81d31327809d8,
title = "The volatility of asset returns during trading and nontrading hours: some evidence from the foreign exchange markets",
abstract = "This paper presents the ratio of the hourly return variance during trading-time to the hourly return variance during nontrading-time for live currency futures contracts. We find that: (1) hourly return variances are greater during trading-time than during nontrading-time, (2) hourly return variances are greater during weeknight nontrading-time than during weekend nontrading-time and (3) the variance ratios are generally highest for the Canadian dollar contracts, lower for the European currency contracts, and lowest for the Japanese yen contracts. The results suggests that the timing of business hours is an important determinant of the timing of currency futures return volatility.",
author = "Michael Hertzel and Kendall, {Coleman S.} and Kretzmer, {Peter E.}",
note = "Funding Information: *This project was started while the first two authors were at the University of Oregon. We would like to thank Steve Buser, Paul Evans, Larry Harris, Doug Joines, Francis LongstafT, Phil Meguire, Wayne Mikkelson, Rick Smith, and seminar participants at Arizona State University, Ohio State University, the University of Oregon and the University ofsouthern California for helpful comments. We would also like to thank Steve Ewers and Tomo Azuma for research assistance and Anthony Barnett and Steve Youngren of the Chicago Mercantile Exchange for providing us with data and useful background information. We also thank the Center for Financial Systems Research at Arizona State University for financial support. An earlier version of this paper was presented at the 1987 Western Economic Association meetings in Vancouver, BC.",
year = "1990",
month = sep,
doi = "10.1016/0261-5606(90)90014-Q",
language = "English (US)",
volume = "9",
pages = "335--343",
journal = "Journal of International Money and Finance",
issn = "0261-5606",
publisher = "Elsevier BV",
number = "3",
}