INTER-DAY RETURN BEHAVIOR FOR STOCKS QUOTED BACK-TO-BACK IN HONG-KONGAND LONDON

Authors
MCGUINNESS P
Citation
P. Mcguinness, INTER-DAY RETURN BEHAVIOR FOR STOCKS QUOTED BACK-TO-BACK IN HONG-KONGAND LONDON, Applied economics letters, 4(8), 1997, pp. 459-464
Citations number
26
Categorie Soggetti
Economics
Journal title
Applied economics letters → ACNP
ISSN journal
13504851
Volume
4
Issue
8
Year of publication
1997
Pages
459 - 464
Database
ISI
SICI code
1350-4851(1997)4:8<459:IRBFSQ>2.0.ZU;2-X
Abstract
The effect of extended trading hours in Hong Kong stocks, resulting fr om the development of the SEAQ International London market in such sto cks, is considered here. This market, which opens shortly after the cl ose of the Hong Kong market, appears to have produced some modulation in the mean and volatility levels of day-of-the-week returns.