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The impact of delivery terms on stock return volatility

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Abstract

The application of generalized ARCH models to daily stock returns shows changes in delivery and payment terms to be an important factor in determining measured volatility. In contrast, the holding period between trading days when markets are closed is relatively unimportant. This new approach allows fresh insights into stock return volatility and indicates that subsequent research on stock return volatility should incorporate the effects of payment delays.

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Authors and Affiliations

  1. Department of Economics, Michigan State University, 48824, East Lansing, MI, U.S.A.

    Richard T. Baillie

  2. Federal Reserve Bank of Cleveland, 44101, Cleveland, OH, U.S.A.

    Ramon P. DeGennaro

Authors
  1. Richard T. Baillie
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  2. Ramon P. DeGennaro
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Baillie, R.T., DeGennaro, R.P. The impact of delivery terms on stock return volatility. J Finan Serv Res 3, 55–76 (1989). https://doi.org/10.1007/BF00114078

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