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

Stephen Y L Cheung

doi:10.1007/BF02425193

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 journal › Journal article › peer-review

1 Citation (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 language	English
Pages (from-to)	129-135
Number of pages	7
Journal	Financial Engineering and the Japanese Markets
Volume	1
Issue number	2
DOIs	https://doi.org/10.1007/BF02425193
Publication status	Published - Sept 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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10.1007/BF02425193

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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.",

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

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