The impact of the Japanese market on the intraday Hong Kong stock returns |
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Authors: | Yan-Leung Cheung |
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Institution: | (1) Department of Economics & Finance, City Polytechnic of Hong Kong, Tat Chee Avenue, Hong Kong |
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Abstract: | This paper examines the impact of the price movement of the Japanese market on the Hong Kong market. We find that the Hong
Kong stock prices react rapidly to the return information of the Japanese market. The evidence also indicates that the large
price movement of the Japanese market can be used as an indicator for the Hong Kong market. The price reaction of the Hong
Kong market is instantaneous and takes place in the opening minutes of the afternoon session. However, there is no excess
profits when the transactions costs are included. Finally, the Hong Kong market has a significantly higher turnover when the
Japanese market is open. |
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Keywords: | Intraday stock return Hong Kong Japan and market efficiency |
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