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

Version 2 2024-06-17, 15:16
Version 1 2015-09-14, 14:52
journal contribution
posted on 2024-06-17, 15:16 authored by GG Tian, M Guo
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.

History

Journal

Review of quantitative finance and accounting

Volume

28

Pagination

287-306

Location

New York, N. Y.

ISSN

0924-865X

eISSN

1573-7179

Language

eng

Publication classification

C1.1 Refereed article in a scholarly journal, C Journal article

Copyright notice

2007, Springer

Issue

3

Publisher

Springer

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