Intra-month returns for a liquid pool of small-cap stocks in Hong Kong are analysed over the period January 2000 to June 2005. A strong and persistent 'turn-of-the-month' effect is apparent where returns, measured between the close of trading on the penultimate day of business in a calendar...

In a fair/efficient market, the ex-adjustment in a rights offering should ensure that trading strategies around this date yield zero returns on average (after netting out market movements and transaction costs). This adjustment is assessed in this paper for one particular market - Hong Kong -...

The effect of extended trading hours in Hong Kong stocks, resulting from the development of the SEAQ International London market in such stocks, is considered here. This market, which opens shortly after the close of the Hong Kong market, appears to have produced some modulation in the mean and...

The use of capital controls in mainland China has meant that shares in listed PRC state enterprises - traded in either Shenzhen or Shanghai - have been broadly separated into 'A' and 'B' share categories. 'A' shares are traded in Chinese RenMinBi and are restricted to trades between indigenous...

There is now substantial evidence that daily equity returns are not normally distributed, but instead display significant leptokurtosis and, in many cases, skewness. Considerable effort has been made in order to capture these empirical characteristics using a range of statistical distributions....