The impact of the Japanese market on the intraday Hong Kong stock returns

Research output: Contribution to journalArticle

2 Citations (Scopus)

Abstract

This paper examines the impact of the price movement of the Japanese market on the Hong Kong market. We find that the Hong Kong stock prices react rapidly to the return information of the Japanese market. The evidence also indicates that the large price movement of the Japanese market can be used as an indicator for the Hong Kong market. The price reaction of the Hong Kong market is instantaneous and takes place in the opening minutes of the afternoon session. However, there is no excess profits when the transactions costs are included. Finally, the Hong Kong market has a significantly higher turnover when the Japanese market is open. Copyright ©  1994 Kluwer Academic Publishers.

Original languageEnglish
Pages (from-to)129-135
JournalFinancial Engineering and the Japanese Markets
Volume1
Issue number2
DOIs
Publication statusPublished - Sep 1994

Fingerprint

Hong Kong
Stock returns
Transaction costs
Turnover
Price reaction
Stock prices
Profit

Bibliographical note

Cheung, Y.-L. (1994). The impact of the Japanese market on the intraday Hong Kong stock returns. Financial Engineering and the Japanese Markets, 1(2), 129-135.

Keywords

  • Intraday stock return
  • Hong Kong
  • Japan and market efficiency