We examine the behavior of the return volatility for stocks listed on the Stock Exchange of Thailand. Opening transactions3exhibit more volatility than closing transactions, daytime returns are more volatile than overnight returns, open-to-open and close-to-close returns exhibit positive serial correlation, the correlations between daytime and following overnight returns are positive, and the correlations between overnight and following daytime returns are negative. We conclude that prices adjust partially from transaction to transaction, overnight returns tend to be reversed by the following day return, and price continuations exist from closing to next day's opening.