TITLE:
Trading Hours and Price Efficiency: The Case of Hong Kong
AUTHORS:
Jinghan Cai, Fengyun Li, Xiangyu Lian
KEYWORDS:
Trading Hours, Price Efficiency, Hong Kong Stock Market
JOURNAL NAME:
Theoretical Economics Letters,
Vol.8 No.15,
December
7,
2018
ABSTRACT: This paper studies the impact of trading-hour
adjustment in Hong Kong Stock market and how this change affects the price
efficiency in Hong Kong stock market. We find that the extended trading hours
in Hong Kong results in a significantly negative cumulative abnormal return.
Also, both the stock price synchronicity and the price delay decrease
significantly, which represents the improvement of the price efficiency.