Is the Hong Kong Stock Market Asymmetrical in Behavior?

• المؤلفون الرئيسيون: Liew, Venus Khim-Sen, Chia, Ricky Chee-Jiun, Syed Azizi Wafa, Syed Khalid Wafa
• التنسيق: E-Article
• اللغة: English
• منشور في: EconBiz 2015
• الموضوعات: H Social Sciences (General)
• الوصول للمادة أونلاين: http://ir.unimas.my/id/eprint/17989/1/Is%20the%20Hong%20Kong%20Stock%20Market%20Asymmetrical%20in%20Behavior%20%28abstract%29.pdf; http://ir.unimas.my/id/eprint/17989/; https://www.researchgate.net/publication/301548678

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...