Intraday stock return volatility: The Hong Kong evidence

Stephen Y L CHEUNG, Richard Yan Ki Ho*, Peter Pope, Paul Draper

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

31 Citations (Scopus)

Abstract

The intraday market return volatility of the Hong Kong stock market, when plotted against the time of the day, follows a double U-shaped pattern. This pattern is different from that of U.S. because of the existence of a session when the market is closed for two hours for the lunchbreak. Another feature of the Hong Kong market that is different from the U.S. is that the open-to-close return variance and the close- to-open return variance is not significantly different from each other. This may be due to the fact that, the close-to-open period is not actually a non-trading session as some of the major Hong Kong stocks are being traded in the London market. Analysis of individual stocks shows that the Hong Kong stocks traded on the London Stock Exchange, after the trading hours of the Stock Exchange of Hong Kong, exhibit a lower open-to-open return variance (versus the close-to-close return variance) and a less negative open-to-open return autocorrelation than those that are not traded on the London Stock Exchange.

Original languageEnglish
Pages (from-to)261-276
Number of pages16
JournalPacific Basin Finance Journal
Volume2
Issue number2-3
DOIs
Publication statusPublished - May 1994

Scopus Subject Areas

  • Finance
  • Economics and Econometrics

User-Defined Keywords

  • Hong Kong stock markets
  • Intraday return volatility
  • Stock return volatility

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