Based on the time-adjusted returns, we empirically study the effects of both call action’s and continuous action’s exchange regulations on the volatility of short-term returns in the Shanghai Stock Exchange. We find that open-open returns exhibit more volatility than close-close returns, and trading period returns are more volatile than non-trading period returns. The previous close price has more relationship to the next open price than the open price to the close price in the same day. The close-close return conforms with partial adjustment hypothesis.
The paper investigates the effect of two commonly used technical indicators,the advance/decline ratio and the short-term trading index on forecasting market returns.The result shows that the indicators have statistically significant relationship to the subsequent third day’s market index returns,and the relationship exists more frequently during trading hours than during non-trading hours,which means that information during the non-trading hours has little effect.Accordingly,the paper concludes that China stock market has not completely accorded to the week-form efficiency.
