Interday and intraday volatility: Additional evidence from the Shanghai Stock Exchange

Interday and intraday volatility: Additional evidence from the Shanghai Stock Exchange After examining both the interday and intraday return volatility of the Shanghai Composite Stock Index, it was found that the open-to-open return variance is consistently greater than the close-to-close variance. Examining the volatility of interday returns and variance ratio tests with five-minute intervals reveals an L-shaped pattern, or more precisely, two L-shaped patterns, starting with a small hump during both the morning and the afternoon sessions, with the morning session having a much higher interday volatility than the afternoon session. This L-shaped interday volatility is supported by the similarly shaped intraday volatility pattern. This result suggests that the high volatility of intraday returns for the market open is not entirely due to the trading mechanisms (call auction in the market opening) but also due to both the accumulated overnight information and the trading halt effect. The five-minute breaks after the auction and blind auction procedures are the two major driving forces which exaggerate the high intraday volatility observed at the market open. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Review of Quantitative Finance and Accounting Springer Journals

Interday and intraday volatility: Additional evidence from the Shanghai Stock Exchange

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Publisher
Kluwer Academic Publishers-Plenum Publishers
Copyright
Copyright © 2006 by Springer Science+Business Media, LLC
Subject
Finance; Corporate Finance; Accounting/Auditing; Econometrics; Operation Research/Decision Theory
ISSN
0924-865X
eISSN
1573-7179
D.O.I.
10.1007/s11156-006-0011-x
Publisher site
See Article on Publisher Site

References

  • Trading mechanism and stock returns an empirical investigation
    Amihud, Y; Mendelson, H
  • Efficiency and trading: Evidence from the Japanese stock market
    Amihud, Y; Mendelson, H
  • Volume-volatility relationships for crude oil futures markets
    Foster, A
  • Interdaily volatility in a continuous order-driven market
    Lam, PHL; Tong, W

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