An International Meeting of the American Accounting Association American Accounting Association 2006 Annual Meeting August 6–9, 2006 Washington, D.C.

Khondkar E. Karim
Rochester Institute of Technology

Zhaohui Zhang
Long Island University C. W. Post

Howard Nemiroff
Long Island University C. W. Post

Jiamin Wang
Long Island University C. W. Post

Abstract: This paper examines opening and closing return patterns on the Chinese stock markets. Further, the correlation of the overnight return (close-to-open) with the following daytime return (open-to-close) is significantly negative, while the correlation of the daytime return with the following overnight return is strongly positive. Our results are inconsistent with previous findings from the Tokyo Stock Exchange (TSE), yet similar to those from the New York Stock Exchange (NYSE), albeit under a quite different market structure. Moreover, significant daily abnormal returns have been found when trading strategies are positioned taking advantage of the revealed return patterns. Short-selling prohibition seems to contribute the patterns found significantly.

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