Market structure and Return Volatility: Evidence from the Hong Kong Stock Market

Hin Sang Tong, K. S.Maurice Tse

Research output: Journal article publicationJournal articleAcademic researchpeer-review

4 Citations (Scopus)

Abstract

There is no consensus about the cause for higher volatility at the market open than at the market close in the U.S. market. As an order-driven, nonspecialist market, the Hong Kong stock market provides a useful setting for an examination. If halt of trade were the major cause of higher open-to-open volatility, the open-to-open volatility in the Hong Kong market would be higher. However, this is not observed. The autocorrelation of the open-to-open return series also indicates that the temporary price deviation at the market opening is not significant. We view these findings as consistent with the specialist argument.
Original languageEnglish
Pages (from-to)589-612
Number of pages24
JournalFinancial Review
Volume37
Issue number4
DOIs
Publication statusPublished - 1 Jan 2002

Keywords

  • Cross trading
  • Hong Kong stock market
  • Interdaily return volatility
  • Market microstructure
  • Volume

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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