The Impact of Delivery Terms on Stock Return Volatility
Posted: 8 Apr 2003
There are 2 versions of this paper
Abstract
The application of generalized ARCH models to daily stock returns shows that changes in delivery and payment terms are an important factor in determining measured volatility. In contrast, the holding period between trading days when markets are closed is relatively unimportant. This new approach allows fresh insights into stock return volatility and indicates that subsequent research on stock return volatility should incorporate the effects of payment delays.
Keywords: Stock returns, volatility, market closings, GARCH
JEL Classification: G1, G2
Suggested Citation: Suggested Citation
DeGennaro, Ramon P. and Baillie, Richard, The Impact of Delivery Terms on Stock Return Volatility. Available at SSRN: https://ssrn.com/abstract=372702
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