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| Author: | Lam, P. H. L. Tong, W. H. S. |
| Title: | Interdaily volatility in a continuous order-driven market |
| Journal: | Journal of Business Finance and Accounting
1999 : SEP/OCT, VOL. 26:7-8, p. 1013-1036 |
| Index terms: | Stock exchanges Volatility Rate of return Hong Kong Asia |
| Language: | eng |
| Abstract: | Empirical studies on the interdaily evolution of return volatilities typically find that daily open-to-open volatility is higher than daily close-to-close volatility. The difference in trading mechanisms btw. the market's open and close, the monopoly power of the specialist, and the long halt of trade before the market's open are some explanations of this phenomenon. The Hong Kong stock market is examined in order to shed additional light on this issue. |
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