Behaviour of intra-daily stock return on an Asian emerging market - Hong Kong

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.

¹ An earlier version of this paper was presented at the Inaugural International Conference on Asian–Pacific Financial Markets, Singapore, 16-18 November 1989.

¹ An earlier version of this paper was presented at the Inaugural International Conference on Asian–Pacific Financial Markets, Singapore, 16-18 November 1989.

Notes

¹ An earlier version of this paper was presented at the Inaugural International Conference on Asian–Pacific Financial Markets, Singapore, 16-18 November 1989.