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- Publisher Website: 10.1111/1540-6288.00030
- Scopus: eid_2-s2.0-85015429811
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Article: Market Structure and Return Volatility: Evidence from the Hong Kong Stock Market
Title | Market Structure and Return Volatility: Evidence from the Hong Kong Stock Market |
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Authors | |
Keywords | Interdaily return volatility Volume Hong Kong stock market Market microstructure Cross trading |
Issue Date | 2002 |
Publisher | Blackwell 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? |
Abstract | There 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 Identifier | http://hdl.handle.net/10722/85627 |
ISSN | 2023 Impact Factor: 2.6 2023 SCImago Journal Rankings: 1.127 |
DC Field | Value | Language |
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dc.contributor.author | Tong, WHS | en_HK |
dc.contributor.author | Tse, KSM | en_HK |
dc.date.accessioned | 2010-09-06T09:07:20Z | - |
dc.date.available | 2010-09-06T09:07:20Z | - |
dc.date.issued | 2002 | en_HK |
dc.identifier.citation | The Financial Review (Statesboro), 2002, v. 37 n. 4, p. 589-612 | en_HK |
dc.identifier.issn | 0732-8516 | - |
dc.identifier.uri | http://hdl.handle.net/10722/85627 | - |
dc.description.abstract | There 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.language | eng | en_HK |
dc.publisher | Blackwell Publishing, Inc. The Journal's web site is located at http://www.blackwellpublishing.com/journals/FR | - |
dc.relation.ispartof | The Financial Review (Statesboro) | en_HK |
dc.rights | The definitive version is available at www.blackwell-synergy.com | - |
dc.subject | Interdaily return volatility | - |
dc.subject | Volume | - |
dc.subject | Hong Kong stock market | - |
dc.subject | Market microstructure | - |
dc.subject | Cross trading | - |
dc.title | Market Structure and Return Volatility: Evidence from the Hong Kong Stock Market | en_HK |
dc.type | Article | en_HK |
dc.identifier.email | Tse, KSM: ktse@econ.hku.hk | en_HK |
dc.identifier.authority | Tse, KS=rp01101 | en_HK |
dc.identifier.doi | 10.1111/1540-6288.00030 | - |
dc.identifier.scopus | eid_2-s2.0-85015429811 | - |
dc.identifier.hkuros | 81526 | en_HK |
dc.identifier.volume | 37 | - |
dc.identifier.issue | 4 | - |
dc.identifier.spage | 589 | - |
dc.identifier.epage | 612 | - |
dc.publisher.place | United States | - |
dc.identifier.issnl | 0732-8516 | - |