The impact of the Japanese market on the intraday Hong Kong stock returns

Stephen Y L CHEUNG*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

2 Citations (Scopus)

Abstract

This paper examines the impact of the price movement of the Japanese market on the Hong Kong market. We find that the Hong Kong stock prices react rapidly to the return information of the Japanese market. The evidence also indicates that the large price movement of the Japanese market can be used as an indicator for the Hong Kong market. The price reaction of the Hong Kong market is instantaneous and takes place in the opening minutes of the afternoon session. However, there is no excess profits when the transactions costs are included. Finally, the Hong Kong market has a significantly higher turnover when the Japanese market is open.

Original languageEnglish
Pages (from-to)129-135
Number of pages7
JournalFinancial Engineering and the Japanese Markets
Volume1
Issue number2
DOIs
Publication statusPublished - Sep 1994

Scopus Subject Areas

  • Economics, Econometrics and Finance(all)

User-Defined Keywords

  • Hong Kong
  • Intraday stock return
  • Japan and market efficiency

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