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Interday and intraday volatility: additional evidence from the Shanghai Stock Exchange

Tian, Gary Gang and Guo, Mingyuan 2007, Interday and intraday volatility: additional evidence from the Shanghai Stock Exchange, Review of quantitative finance and accounting, vol. 28, no. 3, pp. 287-306.

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Title Interday and intraday volatility: additional evidence from the Shanghai Stock Exchange
Author(s) Tian, Gary Gang
Guo, Mingyuan
Journal name Review of quantitative finance and accounting
Volume number 28
Issue number 3
Start page 287
End page 306
Total pages 20
Publisher Springer
Place of publication New York, N. Y.
Publication date 2007
ISSN 0924-865x
Keyword(s) Interday and intraday volatility
Order driven market
Shanghai stock exchange
Summary After examining both the interday and intraday return volatility of the Shanghai Composite Stock Index, it was found that the open-to-open return variance is consistently greater than the close-to-close variance. Examining the volatility of interday returns and variance ratio tests with five-minute intervals reveals an L-shaped pattern, or more precisely, two L-shaped patterns, starting with a small hump during both the morning and the afternoon sessions, with the morning session having a much higher interday volatility than the afternoon session. This L -shaped interday volatility is supported by the similarly shaped intraday volatility pattern. This result suggests that the high volatility of intraday returns for the market open is not entirely due to the trading mechanisms (call auction in the market opening) but also due to both the accumulated overnight information and the trading halt effect. The five-minute breaks after the auction and blind auction procedures are the two major driving forces which exaggerate the high intraday volatility observed at the market open.
Language eng
Field of Research 150201 Finance
Socio Economic Objective 900101 Finance Services
HERDC Research category C1.1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2007, Springer
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Document type: Journal Article
Collection: Department of Finance
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