Cheung, Stephen Yan LeungStephen Yan LeungCheungHo, Y.-K.Draper, P.Pope, P.2025-11-262025-11-261992https://repository.sfu.edu.hk/handle/sfu/5216Because of different market microstructures in that the Hong Kong stocks can continue to trade in the London market after the Hong Kong market is officially closed, the open-to-close return variance is found to be not significantly different from the close-to-open return variance while the return variance during the lunch break is found to be significantly lower than that in the morning and in the afternoon trading sessions.enjournal article10.1016/0165-1765(92)90107-A