Interday and intraday volatility: Additional evidence from the Shanghai stock exchange

Review of Quantitative Finance and Accounting

Volumn 28, Issue 3, 2007, Pages 287-306

  Tian, Gary Gang ^a   Guo, Mingyuan ^a  

^a UNIVERSITY OF WESTERN SYDNEY   (Australia)

Author keywords

Interday and intraday volatility; Order driven market; Shanghai stock exchange

Indexed keywords

EID: 33847300145     PISSN: 0924865X     EISSN: 15737179     Source Type: Journal    
DOI: 10.1007/s11156-006-0011-x     Document Type: Article

References (34)

1. Admati A, Pfleiderer P (1988) A theory of intraday patterns: Volume and price variability. Rev Finan Stud 1:3-40
2. Amihud Y, Mendelson H (1987) Trading mechanism and stock returns an empirical investigation. J Finance 42:533-555
3. Amihud Y, Mendelson H, Murgia M (1990) Stock market microstructure and return volatility. J Banking Finance 14:423-440
4. Amihud Y, Mendelson H (1991) Efficiency and trading: Evidence from the Japanese stock market. J Finance 46:1765-1790
5. Barclay M, Litzenberger R, Warner J (1990) Private information, trading volume, and stock-return varinances. Rev Finan Stud 3:233-253
6. Bildik R (2001) Intra-day seasonalities on stock returns: Evidence from the Turkish stock market. Emerg Markets Rev 2:387-417
7. Brown MB, Forsythe AB (1974) Robust tests for the equality of variances. J Am Statist Assoc 69:364-367
8. Chang RP, Fukuda T, Rhee SG, Takano M (1993) Intraday and interday behavior of the TOPIX. Pacific-Basin Finance J 1:67-95
9. Cheung Y (1995) Intraday returns and the day-end effect: Evidence from the Hong Kong equity market. J Bus Finance Account, October 1023-1035
10. Cheung Y. Ho R, Yan-ki P, Draper P (1994) Intraday stock return volatility: the Hong Kong evidence. Pacific-Basin Finance J 2:261-276
11. Choe H, Shin HK (1993) An analysis of interday and intraday return volatility evidence from the Korea stock exchange. Pacific-Basin Finance J 1:175-188
12. Copeland L, Jones SA (2002) Intradaily patterns in the Korea index futures market. Asian Econ J 16(2):153-174
13. Eun CS, Huang W (2005) Asset pricing in China: Is there a logic? Working paper, available at: http://www.cass.city.ac.uk/conferences/emg_finance/Papers/ EunJiuang.pdf
14. Foster A (1995) Volume-volatility relationships for crude oil futures markets. J Futures Markets 15:929-951
15. Foster FD, Viswanathan S (1990) A theory of interday variations in volumes, variances and trading costs in securities markets. Rev Finan Stud 3:593-624
16. French KR, Roll R (1986) Stock return variances; the arrival of information and the reaction of traders. J Financ Econ 17:5-26
17. Gerety MS, Mulherin JH (1994) Price formation on stock exchanges: the evolution of trading within the day. Rev Finan Stud 7:609-629
18. Goodhart CA, O'Hara M (1997) High frequency data in financial markets: Issues and applications. J Empirical Finance 4:73-114
19. Harris L (1986) A transaction data study of weekly and intraday patterns in stock returns. J Financ Econ 16:99-117
20. Jain PC, Joh GH (1988) The dependence between hourly prices and trading volume. J Finan Quant Anal 23:269-283
21. Kyle AS (1985) Continuous auctions and insider trading. Econometrica 53(6):1315-1335
22. Lam PHL, and Tong W (1999) Interdaily volatility in a continuous order-driven market. J Bussiness Finance Account 26(7/8):1013-1036
23. Levene H (1960) Robust tests for the equality of variances. In: Olkin I, Ghurye SG, Hoeffding W, Madow WG, Mann HB (eds) Contribution to probability and statistics. Stanford University Press
24. Lo AW, MacKinlay AC (1990) An econometric analysis of non-synchronous trading. J Econometrics 45:181-212
25. Lockwood LJ, Linn SC (1990) An examination of stock market return volatility during overnight and intraday periods, 1964-1989. J Finan 45:591-602
26. Lu G, Lee CJ (2004) Proxy for stock market manipulation and its implication in pricing mechanism: Empirical evidence from Chinese stock. Working Papers, Tsinghua University, (Chinese)
27. Miller E (1989) Explaining intraday and overnight price behaviour. J Portfolio Manager, Summer, 10-99
28. Mucklow B (1994) Market microstructure: An examination of the effects on intraday event studies. Contemp Account Res 10(2):355-82
29. Ozenbas D, Schwartz RA, Wood RA (2002) Volatility in US and European equity markets: An assessment of market quality. Int Finance 5(3):437-461
30. Stall HR, Whaley RE (1990) Stock market structure and volatility. Rev Finan Stud 3:37-71
31. Tang GYN, Lui D (2002) Intraday and intraweek volatility patterns of Hang Seng index and index futures, and a test of the wait-to-trade hypothesis. Pacific-Basin Finance J 10:475-495
32. Wang ZG, Zeng Y, Li P (2005) The analysis of the price behavior under periodic auction and continuous auction trading mechanism. J Manage, no. 1, (Chinese)
33. Wood RA, McInish TH, Ord JK (1985) An investigation of transactions data for NYSE stocks. J Finance 40:723-739
34. Young M, Chen P, Chin F (2002) Pre-open and post-close stock market trading routine and intraday stock price volatility, working paper