The mean–variance relation: A 24-hour story

Wang, Wenzhao

Abstract

This paper investigates the mean–variance relation during different time periods within trading days. We reveal that there is a positive mean–variance relation when the stock market is closed (i.e., overnight), but the positive relation is distorted when the market is open (i.e., intraday). The evidence offers a new explanation for the weak risk-return tradeoff in stock markets.

Citation

Wang, W. (2021). The mean–variance relation: A 24-hour story. Economics Letters, 208, Article 110053. https://doi.org/10.1016/j.econlet.2021.110053

• Journal Article Type: Article
• Acceptance Date: Aug 24, 2021
• Online Publication Date: Aug 26, 2021
• Publication Date: 2021-11
• Deposit Date: Mar 9, 2022
• Journal: Economics Letters
• Print ISSN: 0165-1765
• Publisher: Elsevier
• Peer Reviewed: Peer Reviewed
• Volume: 208
• Article Number: 110053
• DOI: https://doi.org/10.1016/j.econlet.2021.110053
• Keywords: Mean–variance relation, Overnight return, Risk-return tradeoff
• Public URL: http://researchrepository.napier.ac.uk/Output/2851224