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Article: Market Structure and Return Volatility: Evidence from the Hong Kong Stock Market

TitleMarket Structure and Return Volatility: Evidence from the Hong Kong Stock Market
Authors
KeywordsInterdaily return volatility
Volume
Hong Kong stock market
Market microstructure
Cross trading
Issue Date2002
PublisherBlackwell Publishing, Inc. The Journal's web site is located at http://www.blackwellpublishing.com/journals/FR
Citation
The Financial Review (Statesboro), 2002, v. 37 n. 4, p. 589-612 How to Cite?
AbstractThere is no consensus about the cause for higher volatility at the market open than at the market close in the U.S. market. As an order–driven, nonspecialist market, the Hong Kong stock market provides a useful setting for an examination. If halt of trade were the major cause of higher open–to–open volatility, the open–to–open volatility in the Hong Kong market would be higher. However, this is not observed. The autocorrelation of the open–to–open return series also indicates that the temporary price deviation at the market opening is not significant. We view these findings as consistent with the specialist argument.
Persistent Identifierhttp://hdl.handle.net/10722/85627
ISSN
2015 SCImago Journal Rankings: 0.477

 

DC FieldValueLanguage
dc.contributor.authorTong, WHSen_HK
dc.contributor.authorTse, KSMen_HK
dc.date.accessioned2010-09-06T09:07:20Z-
dc.date.available2010-09-06T09:07:20Z-
dc.date.issued2002en_HK
dc.identifier.citationThe Financial Review (Statesboro), 2002, v. 37 n. 4, p. 589-612en_HK
dc.identifier.issn0732-8516-
dc.identifier.urihttp://hdl.handle.net/10722/85627-
dc.description.abstractThere is no consensus about the cause for higher volatility at the market open than at the market close in the U.S. market. As an order–driven, nonspecialist market, the Hong Kong stock market provides a useful setting for an examination. If halt of trade were the major cause of higher open–to–open volatility, the open–to–open volatility in the Hong Kong market would be higher. However, this is not observed. The autocorrelation of the open–to–open return series also indicates that the temporary price deviation at the market opening is not significant. We view these findings as consistent with the specialist argument.-
dc.languageengen_HK
dc.publisherBlackwell Publishing, Inc. The Journal's web site is located at http://www.blackwellpublishing.com/journals/FR-
dc.relation.ispartofThe Financial Review (Statesboro)en_HK
dc.rightsThe definitive version is available at www.blackwell-synergy.com-
dc.subjectInterdaily return volatility-
dc.subjectVolume-
dc.subjectHong Kong stock market-
dc.subjectMarket microstructure-
dc.subjectCross trading-
dc.titleMarket Structure and Return Volatility: Evidence from the Hong Kong Stock Marketen_HK
dc.typeArticleen_HK
dc.identifier.emailTse, KSM: ktse@econ.hku.hken_HK
dc.identifier.authorityTse, KS=rp01101en_HK
dc.identifier.doi10.1111/1540-6288.00030-
dc.identifier.hkuros81526en_HK
dc.identifier.volume37-
dc.identifier.issue4-
dc.identifier.spage589-
dc.identifier.epage612-
dc.publisher.placeUnited States-

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