caa a22 4500 463187598 CHVBK 20180406164858.0 cr unu---uuuuu 170326e20070401xx s 000 0 eng 10.1007/s11156-006-0011-x doi (NATIONALLICENCE)springer-10.1007/s11156-006-0011-x Interday and intraday volatility: Additional evidence from the Shanghai Stock Exchange [Elektronische Daten] [Gary Tian, Mingyuan Guo] After examining both the interday and intraday return volatility of the Shanghai Composite Stock Index, it was found that the open-to-open return variance is consistently greater than the close-to-close variance. Examining the volatility of interday returns and variance ratio tests with five-minute intervals reveals an L-shaped pattern, or more precisely, two L-shaped patterns, starting with a small hump during both the morning and the afternoon sessions, with the morning session having a much higher interday volatility than the afternoon session. This L-shaped interday volatility is supported by the similarly shaped intraday volatility pattern. This result suggests that the high volatility of intraday returns for the market open is not entirely due to the trading mechanisms (call auction in the market opening) but also due to both the accumulated overnight information and the trading halt effect. The five-minute breaks after the auction and blind auction procedures are the two major driving forces which exaggerate the high intraday volatility observed at the market open. Springer Science+Business Media, LLC, 2006 Interday and intraday volatility nationallicence Order driven market nationallicence Shanghai stock exchange nationallicence Tian Gary School of Economics and Finance, Parramatta Campus, University of Western Sydney, Locked Bag 1797, 1797, Penrith South DC, NSW, Australia aut Guo Mingyuan School of Economics and Finance, Parramatta Campus, University of Western Sydney, Locked Bag 1797, 1797, Penrith South DC, NSW, Australia aut Review of Quantitative Finance and Accounting Kluwer Academic Publishers-Plenum Publishers; http://www.springer-ny.com 28/3(2007-04-01), 287-306 0924-865X 28:3<287 2007 28 11156 https://doi.org/10.1007/s11156-006-0011-x text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s11156-006-0011-x text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Tian Gary School of Economics and Finance, Parramatta Campus, University of Western Sydney, Locked Bag 1797, 1797, Penrith South DC, NSW, Australia aut NATIONALLICENCE 700 1- Guo Mingyuan School of Economics and Finance, Parramatta Campus, University of Western Sydney, Locked Bag 1797, 1797, Penrith South DC, NSW, Australia aut NATIONALLICENCE 773 0- Review of Quantitative Finance and Accounting Kluwer Academic Publishers-Plenum Publishers; http://www.springer-ny.com 28/3(2007-04-01), 287-306 0924-865X 28:3<287 2007 28 11156 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer