TY - JOUR
T1 - Intraday stock return volatility
T2 - The Hong Kong evidence
AU - Cheung, Stephen Y L
AU - Ho, Richard Yan Ki
AU - Pope, Peter
AU - Draper, Paul
N1 - Copyright:
Copyright 2014 Elsevier B.V., All rights reserved.
PY - 1994/5
Y1 - 1994/5
N2 - 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.
AB - 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.
KW - Hong Kong stock markets
KW - Intraday return volatility
KW - Stock return volatility
UR - http://www.scopus.com/inward/record.url?scp=38149147045&partnerID=8YFLogxK
U2 - 10.1016/0927-538X(94)90020-5
DO - 10.1016/0927-538X(94)90020-5
M3 - Journal article
AN - SCOPUS:38149147045
SN - 0927-538X
VL - 2
SP - 261
EP - 276
JO - Pacific Basin Finance Journal
JF - Pacific Basin Finance Journal
IS - 2-3
ER -