The common belief based on accumulated evidence from the US and Japan is that most price-relevant information originates while financial markets are in operation. In this paper, we present evidence from the Australian Stock Exchange (ASX) that contradicts this view. We find that a larger...

The behaviour of volatility for intraday high frequency returns of the ASX equity index is examined. It is found that volatility of the Australian equities follows an L-shaped curve over the trading day that is distinct from the U-shaped pattern commonly documented by previous studies on other...