Intraday stock return volatility: The Hong Kong evidence

Yan Leung Stephen CHEUNG, Richard Yan Ki HO, Peter POPE, Paul DRAPER

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Abstract

The intraday market return volatility of the Hong Kong stock market, when plotted against the time of the day, follows a double U-shaped pattern. This pattern is different from that of U.S. because of the existence of a session when the market is closed for two hours for the lunchbreak. Another feature of the Hong Kong market that is different from the U.S. is that the open-to-close return variance and the close- to-open return variance is not significantly different from each other. This may be due to the fact that, the close-to-open period is not actually a non-trading session as some of the major Hong Kong stocks are being traded in the London market. Analysis of individual stocks shows that the Hong Kong stocks traded on the London Stock Exchange, after the trading hours of the Stock Exchange of Hong Kong, exhibit a lower open-to-open return variance (versus the close-to-close return variance) and a less negative open-to-open return autocorrelation than those that are not traded on the London Stock Exchange. Copyright © 1994 Published by Elsevier B.V.

Original languageEnglish
Pages (from-to)261-276
JournalPacific-Basin Finance Journal
Volume2
Issue number2-3
DOIs
Publication statusPublished - May 1994

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Hong Kong
Stock return volatility
London Stock Exchange
Return volatility
Return autocorrelation
Stock exchange of Hong Kong
Hong Kong stock market
Market returns

Bibliographical note

Cheung, Y.-L., Ho, R. Y.-K., Pope, P., & Draper, P. (1994). Intraday stock return volatility: The Hong Kong evidence. Pacific-Basin Finance Journal, 2(2-3), 261-276.

Keywords

  • Stock return volatility
  • Intraday return volatility
  • Hong Kong stock markets