【摘要】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.