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Trading Hours and Price Efficiency: The Case of Hong Kong
Department of Economics and Finance, University of Scranton, Scranton, USA
School of Finance, Renmin University of China, Beijing, China
Business Development Department, China Development Bank, Beijing, China
- 1 Department of Economics and Finance, University of Scranton, Scranton, USA
- 2 School of Finance, Renmin University of China, Beijing, China
- 3 Business Development Department, China Development Bank, Beijing, China
Theoretical Economics Letters·Volume 08 (2018)·Pages 3537–3547·Published 14 November 2018·DOI10.4236/tel.2018.815217
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Abstract
This paper studies the impact of trading-hour adjustment in Hong Kong Stock market and how this change affects the price efficiency in Hong Kong stock market. We find that the extended trading hours in Hong Kong results in a significantly negative cumulative abnormal return. Also, both the stock price synchronicity and the price delay decrease significantly, which represents the improvement of the price efficiency.
KeywordsTrading HoursPrice EfficiencyHong Kong Stock Market
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