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| Author: | Cheung, Y. |
| Title: | Intraday returns and the day-end effect: evidence from the Hong Kong equity market |
| Journal: | Journal of Business Finance and Accounting
1995 : OCT, VOL. 22:7, p. 1023-1034 |
| Index terms: | STOCK EXCHANGES HISTORICAL COSTS USA |
| Language: | eng |
| Abstract: | The day-end effect has been well documented in the US market by Wood, McInish and Ord (1985), Harris (1986) and Jain and Joh (1988). The findings here confirm that this phenomenon also exists for both another exchange and another country and are not due to peculiarities of the US securities markets. In this study, the day-end returns are further found to be negatively correlated with the opening (the first 15-minute) returns of the following day. This evidence suggests that the large and positive day-end returns are corrected by the market at the opening transaction of the next trading day. |
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