Price volatility in the Hong Kong stock market: a test of the information and trading noise hypothesis

Kalok Chan, Yue Cheong Chan

Research output: Journal article publicationJournal articleAcademic researchpeer-review

7 Citations (Scopus)

Abstract

The Hong Kong stock market had about five years of no afternoon trading session on Wednesday in the 1980's. This paper makes use of this special feature in testing among public information, private information and trading noise hypothesis. We examine the effect on interday volatility, intraday volatility and the trading volume when there is no afternoon trading on Wednesday. The results indicate that the interday and intraday volatility as well as the trading volume decrease on Wednesday but increase on Thursday. The evidence is therefore consistent with the private information, but not with the public information or trading noise hypothesis.
Original languageEnglish
Pages (from-to)189-201
Number of pages13
JournalPacific-Basin Finance Journal
Volume1
Issue number2
DOIs
Publication statusPublished - 1 Jan 1993

Keywords

  • Hong Kong stock market
  • Interday and intraday volatility
  • Public and private information
  • Trading noise
  • Trading volume

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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