Recently, the research achievements of Zhao Xiaojun and Zhang Na, teachers of the Department of Economics of our college, were employed by the international first-class journal of empirical finance and officially published. The title of this paper is "Equity markets volatile clustering: A multiscale analysis of intraday and overnight returns". Zhao Xiaojun is the first author and Zhang Na is the corresponding author.

This paper points the research on financial market anomalies to the issue of overnight returns and intraday returns, which are more subtle than the whole day returns, and explores the volatility aggregation of intraday and overnight returns across time scales in 15 major stock markets (including developed markets and emerging markets) in the world. It is found that volatility aggregation of intraday and overnight returns is common on the time scale from daily to monthly or even longer. Moreover, the volatility accumulation of overnight returns is even more obvious than that of intraday returns, which must reflect the strong momentum effect of OTC information. However, the cross volatility aggregation between overnight and intraday return series in the market is usually weak. The research results reveal the short-term and long-term investment risks and provide meaningful insights for the risk management of investors in the stock market.

Journal introduction:

Journal of Imperial Finance is recognized by the academic community as a high-quality journal in the field of finance. It is published by Elsevier. The JCR impact factor is 3.025. The journal covers asset pricing, corporate finance, financial econometrics, banking, international finance, microstructure, behavioral finance, etc. It is published five times a year. This journal is an AJG (formerly ABS) three-star journal, and also an English A-class journal of our hospital.