Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/14880
Title: Market structure and return volatility : evidence from the Hong Kong stock market
Authors: Tong, WHS 
Tse, KSM
Keywords: Interdaily return volatility
Volume
Hong Kong stock market
Market microstructure
Cross trading
Issue Date: 2002
Publisher: Wiley-Blackwell
Source: Financial review, 2002, v. 37, no. 4, p. 589-612 How to cite?
Journal: Financial review 
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.
URI: http://hdl.handle.net/10397/14880
ISSN: 0732-8516
EISSN: 1540-6288
DOI: 10.1111/1540-6288.00030
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