Trading mechanisms and return volatility: empirical investigation on Shanghai Stock Exchange based on a neural network model

We empirically compare the behavior of open-to-open and close-to-close returns on the Shanghai Stock Exchange (SHSE) with different trading mechanisms (call market at the opening in the morning followed by continuous market). We use non-linear regression based on a neural network to study the volatility and efficiency of SHSE. The experimental results have shown that the volatility of the call market is significantly higher than that of the continuous market and the call market is more efficient than the continuous market