Is the Hong Kong Stock Market Asymmetrical in Behavior?

Venus Khim-Sen Liew and Chia, Ricky Chee Jiun and Syed Azizi Wafa Syed Khalid Wafa (2015) Is the Hong Kong Stock Market Asymmetrical in Behavior? The Empirical Economics Letters, 14. pp. 17-23. ISSN 1681-8997

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Abstract

This study uncovers that there exists asymmetrical market reaction on the positive and negative news by the TGARCH, EGARCH and EGARCH – M models. Thus, investors could use the calendar anomaly in terms of asymmetrical behavior information to avoid and reduce the risk when investing in the Hong Kong stock market.

Item Type: Article
Uncontrolled Keywords: Hong Kong stock market , Asymmetrical behavior , T GARCH , EGARCH , EGARCH-M
Subjects: H Social Sciences > HG Finance > HG1-9999 Finance > HG4501-6051 Investment, capital formation, speculation > HG4551-4598 Stock exchanges
Divisions: SCHOOL > Labuan School of International Business and Finance
Depositing User: SAFRUDIN BIN DARUN -
Date Deposited: 17 Nov 2021 15:31
Last Modified: 17 Nov 2021 15:31
URI: http://eprints.ums.edu.my/id/eprint/30948

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