Intraday and intraweek volatility patterns of Hang Seng Index and index futures, and a test of the wait-to-trade hypothesis
2002; Elsevier BV; Volume: 10; Issue: 4 Linguagem: Inglês
10.1016/s0927-538x(02)00069-0
ISSN1879-0585
AutoresGordon Y. N. Tang, David T.W Lui,
Tópico(s)Stock Market Forecasting Methods
ResumoThis paper examines the intraday and intraweek volatility patterns and tests the wait-to-trade hypothesis using 24-hour interday returns and 15-minute intraday returns on the Hang Seng Index (HSI) and Hang Seng Index Futures (HSIF). Empirical results show that for all weekdays, interday returns of HSIF are more volatile than those of HSI. An intraweek pattern exists at 2:45 PM for both markets with highest volatility on Monday. For the intraday returns, HSI is significantly more volatile than HSIF for the first 15–30 minutes after the markets open on all weekdays except Monday on which HSI is more volatile for the first 1 h. An intraweek pattern exists at 11:30 AM for both markets with lowest volatility on Thursday. Through an analysis on the intraday correlations between HSI and HSIF, we argue that the significantly larger open intraday volatility in HSI, which is inconsistent with the wait-to-trade hypothesis, is mainly caused by noise trading unrelated to information arrival.
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