Lam, Peter H.L.; Tong, Wilson H.S. - In: Journal of Business Finance & Accounting 26 (1999-09) 7&8, pp. 1013-1036
Since Amihud and Mendelson (1987) documented a higher open-to-open return volatility compared to close-to-close return volatility in the US market, there have been various explanations offered, such as call auction opening, a long halt of trade, and specialist systems. No consensus has been...