Return volatilities and trading activities on an emerging Asian market

Because of different market microstructures in that the Hong Kong stocks can continue to trade in the London market after the Hong Kong market is officially closed, the open-to-close return variance is found to be not significantly different from the close-to-open return variance while the return variance during the lunch break is found to be significantly lower than that in the morning and in the afternoon trading sessions. Copyright © 1992 Published by Elsevier B.V.