Is the Hong Kong Stock Market Asymmetrical in Behavior?

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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Bibliographic Details
Main Authors: Liew, Venus Khim-Sen, Chia, Ricky Chee-Jiun, Syed Azizi Wafa, Syed Khalid Wafa
Format: Article
Language:English
Published: EconBiz 2015
Subjects:
H Social Sciences (General)
Online Access:http://ir.unimas.my/id/eprint/17989/
http://ir.unimas.my/id/eprint/17989/1/Is%20the%20Hong%20Kong%20Stock%20Market%20Asymmetrical%20in%20Behavior%20%28abstract%29.pdf

Internet

http://ir.unimas.my/id/eprint/17989/
http://ir.unimas.my/id/eprint/17989/1/Is%20the%20Hong%20Kong%20Stock%20Market%20Asymmetrical%20in%20Behavior%20%28abstract%29.pdf

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