Relationship between Trading at Ask Price and the End-of-Day Effect in Hong Kong Stock Exchange

This paper presents an empirical study on the intraday trading behavior of Hang Seng Index constituent stocks in Hong Kong Stock Exchange. We use LOGIT model to analyze the probability of a trade occurring at the ask price and investigate its relationship with the end-of-day effect. We find some systematic patterns of trading at ask price over different trading time intervals. This systematic pattern of trading at ask price can explain around one-third of the abnormal return from the end-of-day effect.link_to_subscribed_fulltex