Is the Hong Kong Stock Market Asymmetrical in Behavior?

QR Code

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...

Full description

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

Similar Items

Day-Of-The-Week Effects: Evidence From The Chinese Stock Markets
by: Chia, Ricky Chee-Jiun, et al.
Published: (2011)

Day-of-the-week effects in Selected East Asian stock markets
by: Venus, Khim-Sen Liew, et al.
Published: (2008)

Evidence on the Day-of-the-Week Effect and Asymmetric Behavior in the Bombay Stock Exchange
by: Chia, Ricky Chee-Jiun, et al.
Published: (2010)

The Day-of-the-week Effect in the Hang Seng Index
by: Chia, Ricky Chee-Jiun, et al.
Published: (2015)

Examining the Impact of the U.S. IT Stock Market on Other IT Stock Markets
by: Qiao, Zhuo, et al.
Published: (2010)

Do Spinoffs Create Value in Hong Kong?
by: Tai-Leung, Terence Chong, et al.
Published: (2006)

Month-of-the-Year and Symmetrical Effects in the Nikkei 225
by: Chia, Ricky Chee-Jiun, et al.
Published: (2012)

Nonlinear Adjustment of ASEAN−5 Real Exchange Rates: Symmetrical or Asymmetrical?
by: Liew, Venus Khim-Sen
Published: (2004)

Real interest rates equalization: The case of Malaysia and Singapore
by: Ling, Tai-Hu, et al.
Published: (2006)

Fisher hypothesis: East Asian evidence from panel unit root tests
by: Ling, Tai-Hu, et al.
Published: (2007)

Does Fisher Hypothesis Hold for the East Asian Economies? An Application of Panel Unit Root Tests
by: Tai-Hu, Ling, et al.
Published: (2010)

Forecasting volatility in Chinese and Hong Kong stock markets.
by: Wu, Ming
Published: (2011)

Long-run validity of purchasing power parity and rank tests for cointegration for Central Asian countries
by: Liew, Venus Khim-Sen, et al.
Published: (2010)

Testing Weak-Form Efficiency of The Chinese Stock Market and Hong Kong Stock Market
by: Lei, Zhuolin
Published: (2012)

The Evaluation of Asset Pricing Models in Hong Kong Stock Market
by: Chen, Ruoxi
Published: (2012)

The market for mangoes in Hong Kong
by: Batt, Peter
Published: (2002)

The Investigation of Hong Kong and US Stock Markets Using GARCH Models
by: WU, WENQING
Published: (2014)

Empirical Studies of Momentum Strategies in Hong Kong and Japan Stock Markets
by: Zhu, Qianlan
Published: (2011)

The Conditional Relation between Beta and Returns in the Hong Kong Stock Market.
by: Ho, Wai Kit
Published: (2007)

The Conditional Relation between Beta and Returns in the Hong Kong Stock Market
by: HO, Wai Kit
Published: (2007)

The Profitability of the Momentum Strategies and Their Transaction Costs in the Hong Kong Stock Market
by: Chan, Ka Ho
Published: (2009)

Causal linkages among Shanhai, Shenzhen, and Hong Kong Stock Markets
by: Zhu, H., et al.
Published: (2004)

The effect of Malaysia general election on stock market returns
by: Liew, Venus Khim-Sen, et al.
Published: (2016)

On the application of the rank tests for nonlinear cointegration to PPP: The case of Papua New Guinea
by: Liew, Venus Khim-Sen, et al.
Published: (2012)

The Interest Rate Pass-Through in Malaysia: An Analysis on Asymmetric Adjustment
by: Tang, Maggie May-Jean, et al.
Published: (2015)

Stock market volatility in Malaysia sectoral indices during the general election
by: Chia, Ricky Chee Jiun
Published: (2019)

Dynamic Analysis of Correlation between Stock Market returns: An Empirical Study on Hong Kong and UK Stock Markets
by: Fan, Liyu
Published: (2012)

Is There Any International Diversification Benefits in ASEAN Stock Markets?
by: Lim, Kian-Ping, et al.
Published: (2009)

Does the US IT stock market dominate other IT stock markets : Evidence from multivariate GARCH model
by: Zhuo, Qiao, et al.
Published: (2007)

Backtesting VaR for Hong Kong Financial Stocks
by: Lui, Chun Yin
Published: (2022)

Shanghai-Hong Kong stock connect: an analysis of Chinese partial stock market liberalization impact on the local and foreign markets
by: Bai, Ye, et al.
Published: (2017)

Nonlinear mean reversion in stock prices: evidence from Asian markets
by: Lim, Kian-Ping, et al.
Published: (2007)

Short-term reaction of stock markets to a new mechanism: the case of Shanghai-Hong Kong Stock Connect
by: Chow, Yan Pang, Darien
Published: (2015)

Short-term reaction of stock markets to a new mechanism: the case of Shanghai-Hong Kong Stock Connect
by: Chow, Yan Pang, Darien
Published: (2015)

Hong Kong Stock Markets Prediction Using Neural Networks: The Case of HENDERSON LAND Monthly Stock Price
by: Wang, Han
Published: (2016)

Does Hysteresis in Unemployment Occur in OECD Countries? Evidence from Parametric and Non-Parametric Panel Unit Roots Tests
by: Liew, Venus Khim-Sen, et al.
Published: (2009)

Revisiting Purchasing Power Parity of Papua New Guinea
by: Liew, Venus Khim-Sen, et al.
Published: (2011)

Return and Liquidity Comovement in the Shanghai and Hong Kong Stock Connect
by: Ji, Zhi
Published: (2022)

An Event Study: Efficient or Not? Share Prices' Reactions to Dividend Announcements in Hong Kong Stock Market
by: Leng, Xinyu
Published: (2008)

The Returns of Variable Moving Average Rules in China, Hong Kong, Singaporean and Malaysian Stock Markets
by: Ming-Ming, Lai, et al.
Published: (2008)