Return volatilities and trading activities on an emerging Asian market

Yan Ki Ho; Stephen Y L Cheung; Paul Draper; Peter Pope

doi:10.1016/0165-1765(92)90107-A

Return volatilities and trading activities on an emerging Asian market

Yan Ki Ho^*, Stephen Y L Cheung, Paul Draper, Peter Pope

^*Corresponding author for this work

Research output: Contribution to journal › Journal article › peer-review

5 Citations (Scopus)

Abstract

Because of different market microstructures in that the Hong Kong stocks can continue to trade in the London market after the Hong Kong market is officially closed, the open-to-close return variance is found to be not significantly different from the close-to-open return variance while the return variance during the lunch break is found to be significantly lower than that in the morning and in the afternoon trading sessions.

Original language	English
Pages (from-to)	91-94
Number of pages	4
Journal	Economics Letters
Volume	39
Issue number	1
DOIs	https://doi.org/10.1016/0165-1765(92)90107-A
Publication status	Published - May 1992

Scopus Subject Areas

Finance
Economics and Econometrics

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10.1016/0165-1765(92)90107-A

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title = "Return volatilities and trading activities on an emerging Asian market",

abstract = "Because of different market microstructures in that the Hong Kong stocks can continue to trade in the London market after the Hong Kong market is officially closed, the open-to-close return variance is found to be not significantly different from the close-to-open return variance while the return variance during the lunch break is found to be significantly lower than that in the morning and in the afternoon trading sessions.",

author = "Ho, {Yan Ki} and Cheung, {Stephen Y L} and Paul Draper and Peter Pope",

note = "Funding Information: Correspondence Kong. * This research is supported by a research grant of the Hong Kong Baptist College. The authors also wish to thank Iris Leung and Bonnie Lai of the Stock Exchange of Hong Kong for supplying information on the trading activities of Hong Kong stocks on the London Market.",

year = "1992",

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AU - Cheung, Stephen Y L

AU - Draper, Paul

AU - Pope, Peter

N1 - Funding Information: Correspondence Kong. * This research is supported by a research grant of the Hong Kong Baptist College. The authors also wish to thank Iris Leung and Bonnie Lai of the Stock Exchange of Hong Kong for supplying information on the trading activities of Hong Kong stocks on the London Market.

PY - 1992/5

Y1 - 1992/5

N2 - Because of different market microstructures in that the Hong Kong stocks can continue to trade in the London market after the Hong Kong market is officially closed, the open-to-close return variance is found to be not significantly different from the close-to-open return variance while the return variance during the lunch break is found to be significantly lower than that in the morning and in the afternoon trading sessions.

AB - Because of different market microstructures in that the Hong Kong stocks can continue to trade in the London market after the Hong Kong market is officially closed, the open-to-close return variance is found to be not significantly different from the close-to-open return variance while the return variance during the lunch break is found to be significantly lower than that in the morning and in the afternoon trading sessions.

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U2 - 10.1016/0165-1765(92)90107-A

DO - 10.1016/0165-1765(92)90107-A

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VL - 39

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JO - Economics Letters

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ER -

Return volatilities and trading activities on an emerging Asian market

Abstract

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