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Market Structure and Return Volatility: Evidence from the Hong Kong Stock Market

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  • Wilson H. S. Tong
  • K. S. Maurice Tse

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.

Suggested Citation

  • Wilson H. S. Tong & K. S. Maurice Tse, 2002. "Market Structure and Return Volatility: Evidence from the Hong Kong Stock Market," The Financial Review, Eastern Finance Association, vol. 37(4), pages 589-612, November.
    • Handle: RePEc:bla:finrev:v:37:y:2002:i:4:p:589-612
    DOI: 10.1111/1540-6288.00030
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    Cited by:

    1. Jiayi Li & Sumei Luo & Guangyou Zhou, 2021. "Call auction, continuous trading and closing price formation," Quantitative Finance, Taylor & Francis Journals, vol. 21(6), pages 1037-1065, June.

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