I am planning to run regression of half-hourly stock volume against the half-hourly news volume for that particular stock. I am looking at 2 years of data for my analysis. However, I am stuck thinking about what should be done to the non-trading hours period on each day?
To be specific: 1. Should I regress the data only for the working hour of the exchange, which means that the Y -values in my regression will contain the "stock volume" in each 30 minutes from 9:30-16:00 on each day from start date to the end date of my regression period and X-values will be the corresponding "news volume" in each 30 minutes?
- Do I need to make the data evenly spaced in 30 minutes and include the "non-trading hours" for each day with "zeros" as the stock volume and the news volume?
I believe the regression result will be different in both the cases. Need an urgent advise.