26
Views
10
CrossRef citations to date
0
Altmetric
Original Articles

Inter-day return behaviour for stocks quoted ‘back-to-back’ in Hong Kong and London

Pages 459-464 | Received 27 Aug 1996, Published online: 03 Sep 2008

References

  • Agrawal , A. and Tandon , K. 1994 . Anomalies or illusions? evidence from stock markets in eighteen countries . Journal of International Money and Finance , 13 : 83 – 106 .
  • Cheung , Y-L. and Shum , C-K. 1995 . ‘International stock exchange listing and the reduction of political risk . Managerial and Decision Economics , 16 : 537 – 46 .
  • Cheung , Y-L. , Ho , Y-K. , Pope , P. and Draper , P. 1994 . Intraday stock return volatility: the HK evidence . Pacific Basin Finance Journal , 2 : 261 – 76 .
  • Cheung , Y-L. 1995 . Intraday returns and the day-end effect: evidence from the Hong Kong equity market . Journal of Business Finance and Accounting , 22 ( 7 ) : 1023 – 34 .
  • Condoyanni , L. , O'Hanlon , J. and Ward , C. W. R. 1987 . Day of the week effects on stock returns: international evidence . Journal of Business Finance and Accounting , 14 ( 2 ) : 159 – 74 .
  • Connolly , R.A. 1989 . An examination of the robustness of the weekend effect . Journal of Financial and Quantitaive Analysis , 24 ( 2 ) : 133 – 70 .
  • Cross , K. 1973 . The behaviour of stock prices on fridays and mondays . Financial Analysts Journal , : 67 – 69 . Nov.–Dec.
  • French , K. R. 1980 . Stock returns and the weekend effect . Journal of Financial Economics , 8 : 55 – 69 .
  • LSE . 1994 . Guide to the International Equity Market , London : The London Stock Exchange . August
  • Harris , L. 1986 . A transaction data study of weekly and intradaily patterns in stock returns . Journal of Financial Economics , 16 : 99 – 117 .
  • Ho , Y-K. 1990 . Stock return seasonalities in Asia Pacific markets . Journal of International Financial Management and Accounting , 2 ( 1 ) : 47 – 77 .
  • Ho , Y-K. and Cheung , Y-L. 1991 . Behaviour of intra-daily stock return on an Asian emerging market - HK . Applied Economics , 23 : 957 – 66 .
  • Ho , Y-K. , Cheung , Y-L. , Draper , P. and Pope , P. 1992 . return volatilities and trading activities on an emerging Asian market . Economic Letters , 39 : 91 – 94 .
  • Ho , Y-K. and Cheung , Y-L. 1994 . Seasonal pattern in volatility in Asian stock markets . Applied Financial Economics , 4 : 61 – 67 .
  • Ho , Y-K. , Cheung , Y-L. and Cheung , W-W. 1993 . Intraday prices and trading volume relationship in an emerging Asian market -HK . Pacific-Basin Finance Journal , 1 : 203 – 14 .
  • Jaffe , J. and Westerfield , R. 1985 . The week-end effect in common stock returns: the international evidence . Journal of Finance , 40 ( 2 ) : 433 – 54 .
  • Kim , S-W. 1993 . Capitalizing on the weekend effect . Journal of Portfolio Management , 19 ( 2 ) : 93 – 99 .
  • Kohli, S. (1995) London deals bleed HK', The South China Morning Post, Business Post, 10 June 1.
  • Lee , I. , Richardson Pettit , R. and Swankoski , M. V. 1990 . Daily return relationships among Asian stock markets . Journal of Business Finance and Accounting , 17 ( 2 ) : 265 – 84 .
  • Levene , H. 1960 . “ Robust tests for equality of variances' ” . In Contributions to Probability and Statistics , Edited by: Olkin , I . 278 – 92 . Stanford University Press . Essays in Honour of Harold Hotelling
  • Lockwood , L.J. and Linn , S.C. 1990 . An examination of stock market return volatility during overnight and intraday periods, 1964–1989 . Journal of Finance , 45 ( 2 ) : 591 – 601 .
  • Mok , M. K. 1988 . Interdaily return efficiency in HK's stock market in recent years . HK Journal of Business Management , VI : 91 – 111 .
  • Rogalski , R. J. 1984 . New findings regarding day-of-the-week returns over trading and non-trading periods: a note . Journal of Finance , 39 ( 5 ) : 1603 – 14 .
  • Smirlock , M. and Starks , L. 1986 . Day-of-the-week and intraday effects in stock returns . Journal of Financial Economics , 17 : 197 – 210 .
  • The Stock Exchange of HK Fact Book . 1992 . Hong Kong : The Stock Exchange of HK Ltd .
  • Wong , K. A. , Hui , T. K. and Chan , C. Y. 1992 . Day-of-the-week effects: evidence from developing stock markets . Applied Financial Economics , 2 : 49 – 56 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.