Behaviour of intra-daily stock return on an Asian emerging market - Hong Kong
Author(s)
Author(s)
Ho, Y.-K.
Date Issued
1991
Publisher
Routledge
Journal
Applied Economics
Volume
23
Issue
5
Start page
957
End page
966
Abstract
This study examines the intra-daily return behaviour of one of the most open Asian emerging markets - Hong Kong. It is found that there is a general increase in the positive skewness and kurtosis of all the intra-daily returns after the 1987 October crash and the distributions of all the returns have become non-normal after the crash. There seems to be more day-of-the-week and time-of-the-day variations in the post-crash period than in the pre-crash period. There also exists some day-end effect in both of the periods and such a day-end effect seems to be related to the day of the week.
SFU Affiliated Publication
No
Availability at SFU Library
No database links found.