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Article: Relationship between Trading at Ask Price and the End-of-Day Effect in Hong Kong Stock Exchange

TitleRelationship between Trading at Ask Price and the End-of-Day Effect in Hong Kong Stock Exchange
Authors
Chan, AWH
KeywordsIntraday Return
Trade at Ask
End-of-Day Effect
Issue Date2005
PublisherDilovi Perspektyvy.
Citation
Investment Management & Financial Innovations, 2005, n. 4, p. 124-136 How to Cite?
AbstractThis paper presents an empirical study on the intraday trading behavior of Hang Seng Index constituent stocks in Hong Kong Stock Exchange. We use LOGIT model to analyze the probability of a trade occurring at the ask price and investigate its relationship with the end-of-day effect. We find some systematic patterns of trading at ask price over different trading time intervals. This systematic pattern of trading at ask price can explain around one-third of the abnormal return from the end-of-day effect.
Persistent Identifierhttp://hdl.handle.net/10722/85650
ISSN
1810-4967
2023 SCImago Journal Rankings: 0.246

 

DC FieldValueLanguage
dc.contributor.authorChan, AWHen_HK
dc.date.accessioned2010-09-06T09:07:36Z-
dc.date.available2010-09-06T09:07:36Z-
dc.date.issued2005en_HK
dc.identifier.citationInvestment Management & Financial Innovations, 2005, n. 4, p. 124-136en_HK
dc.identifier.issn1810-4967-
dc.identifier.urihttp://hdl.handle.net/10722/85650-
dc.description.abstractThis paper presents an empirical study on the intraday trading behavior of Hang Seng Index constituent stocks in Hong Kong Stock Exchange. We use LOGIT model to analyze the probability of a trade occurring at the ask price and investigate its relationship with the end-of-day effect. We find some systematic patterns of trading at ask price over different trading time intervals. This systematic pattern of trading at ask price can explain around one-third of the abnormal return from the end-of-day effect.-
dc.languageengen_HK
dc.publisherDilovi Perspektyvy.en_HK
dc.relation.ispartofInvestment Management & Financial Innovationsen_HK
dc.subjectIntraday Return-
dc.subjectTrade at Ask-
dc.subjectEnd-of-Day Effect-
dc.titleRelationship between Trading at Ask Price and the End-of-Day Effect in Hong Kong Stock Exchangeen_HK
dc.typeArticleen_HK
dc.identifier.emailChan, AWH: alexchan@econ.hku.hken_HK
dc.identifier.authorityChan, AWH=rp01043en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.hkuros112886en_HK
dc.identifier.issue4-
dc.identifier.spage124-
dc.identifier.epage136-
dc.publisher.placeUkraine-
dc.identifier.issnl1810-4967-

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