Asymmetry of cross correlations between intra-day and overnight volatilities

Abstract

We point out a stunning time asymmetry in the short time cross correlations between intra-day and overnight volatilities (absolute values of log-returns of stock prices). While overnight volatility is significantly (and positively) correlated with the intra-day volatility during the \textit{following} day (allowing thus non-trivial predictions), it is much less correlated with the intra-day volatility during the \textit{preceding} day. While the effect is not unexpected in view of previous observations, its robustness and extreme simplicity are remarkable.

4 pages, including 3 figures

References in corpus (2)

• Statistical analysis of the overnight and daytime return
• The fine structure of volatility feedback II: overnight and intra-day effects