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Interdaily Volatility in a Continuous Order-Driven Market

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  • Peter H.L. Lam

    (Culturecom Holdings Ltd, Hong Kong.,)

  • Wilson H.S. Tong

Abstract

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.

Suggested Citation

  • Peter H.L. Lam & Wilson H.S. Tong, 1999. "Interdaily Volatility in a Continuous Order-Driven Market," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 26(7&8), pages 1013-1036.
  • Handle: RePEc:bla:jbfnac:v:26:y:1999-09:i:7&8:p:1013-1036
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    Cited by:

    1. Bildik, Recep, 2001. "Intra-day seasonalities on stock returns: evidence from the Turkish Stock Market," Emerging Markets Review, Elsevier, vol. 2(4), pages 387-417, December.
    2. Brockman, Paul & Chung, Dennis Y., 2008. "Commonality under market stress: Evidence from an order-driven market," International Review of Economics & Finance, Elsevier, vol. 17(2), pages 179-196.

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