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, while the correlation of the daytime return with the following overnight return is strongly positive. The results show strong price continuation around the close and strong price reversal at the open, and the findings are not sensitive to trading volume. The findings are less likely to be caused by price limits. Our results are inconsistent with previous findings from the Tokyo Stock Exchange, yet similar to those from the New York Stock Exchange, albeit under a different market structure.

Publication Date



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/rpbfmpNote: imported from RIT’s Digital Media Library running on DSpace to RIT Scholar Works in February 2014.

Document Type


Department, Program, or Center

Accounting (SCB)


RIT – Main Campus