IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!) to save this article

Interdaily Volatility in a Continuous Order-Driven Market

Listed author(s):
  • Peter H.L. Lam

    (Culturecom Holdings Ltd, Hong Kong.,)

  • Wilson H.S. Tong
Registered author(s):

    Since Amihud and Mendelson (1987) documented a higher open-to-open return volatility compared to close-to-close return volatility in the US market, there have been various explanations offered, such as call auction opening, a long halt of trade, and specialist systems. No consensus has been reached so far. As an order-driven dealership market, the Hong Kong stock market provides another dimension for examination. If halt of trade is the major cause of the open-to-open volatility in the Hong Kong market, this volatility should also be higher. This is not observed. Positive autocorrelation of the open-to-open return series also suggests that there is no temporary price deviation at market opening. We view these as consistent with the specialist argument put forth by Stoll and Whaley (1990). Copyright Blackwell Publishers Ltd 1999.

    If you experience problems downloading a file, check if you have the proper application to view it first. 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.

    File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/1468-5957.00284
    File Function: link to full text
    Download Restriction: Access to full text is restricted to subscribers.

    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.

    Article provided by Wiley Blackwell in its journal Journal of Business Finance & Accounting.

    Volume (Year): 26 (1999-09)
    Issue (Month): 7&8 ()
    Pages: 1013-1036

    as
    in new window

    Handle: RePEc:bla:jbfnac:v:26:y:1999-09:i:7&8:p:1013-1036
    Contact details of provider: Web page: http://www.blackwellpublishing.com/journal.asp?ref=0306-686X

    Order Information: Web: http://www.blackwellpublishing.com/subs.asp?ref=0306-686X

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:bla:jbfnac:v:26:y:1999-09:i:7&8:p:1013-1036. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing)

    or (Christopher F. Baum)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.