Dr Wenzhao Wang W.Wang@napier.ac.uk
Lecturer
The mean-variance relation: A story of night and day
Wang, Wenzhao
Authors
Abstract
The traditional financial framework theorizes a positive mean-variance relation, which, however, is not fully supported by empirical evidence. We provide a new explanation for the weak mean-variance relation by separately testing the relation overnight and intraday. Results at the global level present a positive mean-variance relation overnight but a negative relation intraday, while results of individual markets reveal a high degree of heterogeneity. We employ cultural dimensions, market integrity, and market development to examine the drivers of the observed cross-market differences, showing that all the three factors influence the mean-variance relation, and notably, the influence varies across night and day.
Citation
Wang, W. (2023). The mean-variance relation: A story of night and day. Journal of International Financial Markets, Institutions and Money, 86, Article 101796. https://doi.org/10.1016/j.intfin.2023.101796
Journal Article Type | Article |
---|---|
Acceptance Date | Jun 6, 2023 |
Online Publication Date | Jun 13, 2023 |
Publication Date | 2023-07 |
Deposit Date | Jun 16, 2023 |
Publicly Available Date | Jun 16, 2023 |
Print ISSN | 1042-4431 |
Publisher | Elsevier |
Peer Reviewed | Peer Reviewed |
Volume | 86 |
Article Number | 101796 |
DOI | https://doi.org/10.1016/j.intfin.2023.101796 |
Keywords | Culture, Global, Intraday, Market integrity, Mean-variance relation, Overnight |
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The Mean-variance Relation: A Story Of Night And Day
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Publisher Licence URL
http://creativecommons.org/licenses/by/4.0/
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