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The first 20 min in the Hong Kong stock market

Author

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  • Huang, Zhi-Feng

Abstract

Based on the minute-by-minute data of the Hang Seng Index in Hong Kong and the analysis of probability distribution and autocorrelations, we find that the index fluctuations for the first few minutes of daily opening show behaviors very different from those of the other times. In particular, the properties of tail distribution, which will show the power-law scaling with exponent about four or an exponential-type decay, the volatility, and its correlations depend on the opening effect of each trading day.

Suggested Citation

  • Huang, Zhi-Feng, 2000. "The first 20 min in the Hong Kong stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 287(3), pages 405-411.
    • Handle: RePEc:eee:phsmap:v:287:y:2000:i:3:p:405-411
    DOI: 10.1016/S0378-4371(00)00379-4
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    Cited by:

    1. Peng Liu & Yanyan Zheng, 2022. "Precision measurement of the return distribution property of the Chinese stock market index," Papers 2209.08521, arXiv.org, revised Nov 2023.
    2. Jasmina Jekni'c-Dugi'c & Sonja Radi' c & Igor Petrovi'c & Momir Arsenijevi'c & Miroljub Dugi'c, 2018. "Quantum Brownian oscillator for the stock market," Papers 1901.10544, arXiv.org.

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