Intraday and intraweek volatility patterns of Hang Seng index and index futures, and a test of the wait-to-trade hypothesis

Pacific Basin Finance Journal

Volumn 10, Issue 4, 2002, Pages 475-495

  Tang, Gordon Y N ^a,b   Lui, David T W ^c  

^a HONG KONG BAPTIST UNIVERSITY   (Hong Kong)

^b UNIVERSITY OF SOUTH AUSTRALIA   (Australia)

^c Dah Sing Bank Ltd   (Hong Kong)

Author keywords

Intraday; Intraweek; Stock index futures; Volatility patterns; Wait to trade hypothesis

Indexed keywords

EID: 0036742596     PISSN: 0927538X     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0927-538X(02)00069-0     Document Type: Article

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