Is the Hong Kong Stock Market Asymmetrical in Behavior?

• Main Authors: Venus Khim-Sen Liew, Chia, Ricky Chee Jiun, Syed Azizi Wafa Syed Khalid Wafa
• Format: Article
• Language: English; English
• Published: Empirical Economics Letters 2015
• Subjects: HG4551-4598 Stock exchanges
• 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

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.