Interdaily Volatility in a Continuous Order‐Driven Market
研究香港订单驱动市场中的隔日波动性，发现开盘波动并不高于收盘波动，支持专家系统解释而非交易暂停假说。
Since Amihud and Mendelson (1987) documented a higher open‐to‐open return volatility compared to close‐to‐close return volatility in the US market, there have been various explanations offered, such as call auction opening, a long halt of trade, and specialist systems. No consensus has been reached so far. As an order‐driven dealership market, the Hong Kong stock market provides another dimension for examination. If halt of trade is the major cause of the open‐to‐open volatility in the Hong Kong market, this volatility should also be higher. This is not observed. Positive autocorrelation of the open‐to‐open return series also suggests that there is no temporary price deviation at market opening. We view these as consistent with the specialist argument put forth by Stoll and Whaley (1990).