Author(s)

Jinghan Cai¹, Fengyun Li^2*, Xiangyu Lian³

¹Department of Economics and Finance, University of Scranton, Scranton, USA.
²School of Finance, Renmin University of China, Beijing, China.
³Business Development Department, China Development Bank, Beijing, China.

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.

Trading Hours, Price Efficiency, Hong Kong Stock Market

Cai, J. , Li, F. and Lian, X. (2018) Trading Hours and Price Efficiency: The Case of Hong Kong. Theoretical Economics Letters, 8, 3537-3547. doi: 10.4236/tel.2018.815217.