| The dissemination and diffusion of information is the inherent motivation of fluctuation. Due to the trading time is very short, a lot of information accumulated during the inactive time, called overnight information. On one hand, the main source of information, for example government and listed companies, prefer publishing information at the inactive time, on the other hand, masses of information form international capital markets spread to china after Chinese stock market closed. Therefore, the study of overnight information is necessary and of great significance.Based on HAR-RV model, this paper researches the influence of overnight information on Chinese stock market on the basis of the empirical analysis. Firstly, we apply a HAR-RV model which is based on the overnight information to analyze the influence of the overnight information on Chinese stock market. Secondly, we introduce3types of overnight information to HAR-RV model and study the different impacts of them. Finally, we study three estimators which are the combinations of the realized variance and squared overnight return, find that the most effective means is to scale the realized variance by a δ which is compute by the data of last44days. |
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