Zhang, Zhaohui; Nemiroff, Howard; Wang, Jiamin; Karim, … - In: Review of Pacific Basin Financial Markets and Policies … 10 (2007) 04, pp. 519-540
This paper examines opening and closing return patterns on the Chinese stock markets. We find that open-to-open returns are significantly more volatile than close-to-close returns. In addition, the correlation of the overnight return with the following daytime return is significantly negative,...