Cheung, Stephen Yan LeungStephen Yan LeungCheungHo, Y.-K.2025-11-262025-11-261991https://repository.sfu.edu.hk/handle/sfu/5222This 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.enjournal article10.1080/00036849100000044