The impact of the Japanese market on the intraday Hong Kong stock returns
Author(s)
Date Issued
1994
Publisher
Springer
Journal
Financial Engineering and the Japanese Markets
Volume
1
Issue
2
Start page
129
End page
135
Abstract
This paper examines the impact of the price movement of the Japanese market on the Hong Kong market. We find that the Hong Kong stock prices react rapidly to the return information of the Japanese market. The evidence also indicates that the large price movement of the Japanese market can be used as an indicator for the Hong Kong market. The price reaction of the Hong Kong market is instantaneous and takes place in the opening minutes of the afternoon session. However, there is no excess profits when the transactions costs are included. Finally, the Hong Kong market has a significantly higher turnover when the Japanese market is open.
SFU Affiliated Publication
No
Availability at SFU Library
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