Electronic version of an article published as Review of Pacific Basin Financial Markets and Policies, Volume 10, Issue 4, 2007, pp. 519-540, Article DOI: 10.1142/S0219091507001185 Copyright World Scientific Publishing Company www.worldscinet.com/rpbfmp

This paper examines opening and closing return patterns on the Chinese stock markets. We find that open-to-open returns are significantly more volatile than close-to-close returns. In addition, the correlation of the overnight return with the following daytime return is significantly negative,...