The first 20 minutes in the Hong Kong stock market
Zhi-Feng Huang
Abstract
Based on the minute-by-minute data of the Hang Seng Index in Hong Kong and the analysis of probability distribution and autocorrelations, we find that the index fluctuations for the first few minutes of daily opening show behaviors very different from those of the other times. In particular, the properties of tail distribution, which will show the power law scaling with exponent about -4 or an exponential-type decay, the volatility, and its correlations depend on the opening effect of each trading day.
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