Is the Hong Kong Stock Market Asymmetrical in Behavior?
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...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English English |
| Published: |
Empirical Economics Letters
2015
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| Subjects: | |
| Online Access: | https://eprints.ums.edu.my/id/eprint/30948/1/Is%20the%20Hong%20Kong%20Stock%20Market%20Asymmetrical%20in%20Behavior_ABSTRACT.pdf https://eprints.ums.edu.my/id/eprint/30948/2/Is%20the%20Hong%20Kong%20Stock%20Market%20Asymmetrical%20in%20Behavior.pdf https://eprints.ums.edu.my/id/eprint/30948/ https://www.researchgate.net/profile/Venus-Liew-2/publication/301548678_Is_the_Hong_Kong_Stock_Market_Asymmetrical_in_Behavior/links/5718aec608aed43f63221a34/Is-the-Hong-Kong-Stock-Market-Asymmetrical-in-Behavior.pdf |
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| Summary: | 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. |
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