Understanding the Distinctive Patterns of Inter- and Intra-day
Price Movements in the Emerging Equity Markets in Asia


 

 

Woo Chang Kim, Lee Yoon Hak, Yong Joon Yang, Young Rae Song

 

1  Korea Military Academy, Nowon-gu, Seoul 139-799 Korea

2  Department of Industrial Engineering, Korea Advanced Institute of Science and Technology, Yuseong-gu, Daejeon 305-701 Korea

Corresponding author, Yoonhak Lee
Ph.D. candidate in ISysE, KAIST
Investment Design Lab.
+82-10-9151-2698

 

 

 

 

October 2012

 

 

Abstract

This paper explains the dynamics of inter- and intra-day
return series of emerging stock markets in Asia by conducting
hypothesis tests, simulation while focusing on spillover and
overreaction effects before and after the 2008 financial crisis. The
results indicate a pattern specific to emerging markets in Asia; we
find that a positive performance of the U.S. market has a larger
effect on Asia markets than a negative one, which stands out from
general market behavior.