Behaviour of intra-daily stock return on an Asian emerging market - Hong Kong

Richard Yan Ki HO, Yan Leung Stephen CHEUNG

Research output: Contribution to journalArticles

20 Citations (Scopus)

Abstract

This study examines the intra-daily return behaviour of one of the most open Asian emerging markets - Hong Kong. It is found that there is a general increase in the positive skewness and kurtosis of all the intra-daily returns after the 1987 October crash and the distributions of all the returns have become non-normal after the crash. There seems to be more day-of-the-week and time-of-the-day variations in the post-crash period than in the pre-crash period. There also exists some day-end effect in both of the periods and such a day-end effect seems to be related to the day of the week.Copyright © 1991 Taylor & Francis Group, LLC. All rights reserved.

Original languageEnglish
Pages (from-to)957-966
Number of pages10
JournalApplied Economics
Volume23
Issue number5
DOIs
Publication statusPublished - Jan 1991

Citation

Ho, Y.-K., & Cheung, Y.-L. (1991). Behaviour of intra-daily stock return on an Asian emerging market - Hong Kong. Applied Economics, 23(5), 957-966.

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