Return volatilities and trading activities on an emerging Asian market

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

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5 Citations (Scopus)

Abstract

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.

Original languageEnglish
Pages (from-to)91-94
JournalEconomics Letters
Volume39
Issue number1
DOIs
Publication statusPublished - May 1992

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Return volatility
Emerging Asian markets
Trading activity
Hong Kong
Market microstructure

Citation

Ho, Y.-K., Cheung, Y.-L., Draper, P., & Pope, P. (1992). Return volatilities and trading activities on an emerging Asian market. Economics Letters, 39(1), 91-94.