Zhaohui Zhang () (College of Management, Long Island University, C.W. Post Campus, Brookville, NY 11548, USA) Howard Nemiroff () (Sprott School of Business, Carleton University, Ottawa, ON K1S 5B6, Canada) Jiamin Wang () (College of Management, Long Island University, C.W. Post Campus, Brookville, NY 11548, USA) Khondkar Karim () (Saunders College of Business, Rochester Institute of Technology, Rochester, NY 14623, USA)
Abstract
This paper examines opening and closing return patterns on the Chinese stock markets. We find that open-to-open returns are significantly more volatile than close-to-close returns. In addition, the correlation of the overnight return with the following daytime return is significantly negative, while the correlation of the daytime return with the following overnight return is strongly positive. The results show strong price continuation around the close and strong price reversal at the open, and the findings are not sensitive to trading volume. The findings are less likely to be caused by price limits. Our results are inconsistent with previous findings from the Tokyo Stock Exchange, yet similar to those from the New York Stock Exchange, albeit under a different market structure.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.