Regulatory Change v's volume of trade effects in HSIF and HSI volatility

Gannon, Gerard and Au-Yeung, Siu Pang 2004, Regulatory Change v's volume of trade effects in HSIF and HSI volatility, in 12th Annual Conference on Pacific Basin Finance, Economics, Accounting and Business Conference Proceedings : Roads to sustainable Asian economic prosperity, School of Business, UTCC, Bangkok, Thailand, pp. 1-25.

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Title Regulatory Change v's volume of trade effects in HSIF and HSI volatility
Author(s) Gannon, Gerard
Au-Yeung, Siu Pang
Conference name Pacific Basin Finance, Economics, Accounting and Business. Conference (12th : 2004 : Bangkok, Thailand)
Conference location Bangkok, Thailand
Conference dates 10-11 August 2004
Title of proceedings 12th Annual Conference on Pacific Basin Finance, Economics, Accounting and Business Conference Proceedings : Roads to sustainable Asian economic prosperity
Editor(s) Lee, Cheng-few
Publication date 2004
Conference series Pacific Basin Finance, Economics, Accounting and Business Conference
Start page 1
End page 25
Publisher School of Business, UTCC
Place of publication Bangkok, Thailand
Keyword(s) regulatory change
multivariate volatility
volume of trade
Summary In an earlier paper we adopted a BEKK-GARCH framework and employed a systematic approach to examine structural breaks in the HSIF and HSI volatility. Switching dummy variables were included and tested in the variance equations to check for any structural changes in the autoregressive volatility structure due to the events that have taken place in the Hong Kong market. A Bi-variate GARCH model with 3 switching points was found to be superior as it captured the potential structural changes in return volatilities. Abolishment of the uptick rule, increase of initial margins for the HSIF and electronic trading of HSIF were found to have significant impact on the volatility structure of HSIF and HSI. In this paper we include measures of daily trading volume from both markets in the estimation. Likelihood ratio tests indicate the switching dummy variables become insignificant and the GARCH effects diminish but remain significant.
Language eng
Field of Research 150201 Finance
Socio Economic Objective 970115 Expanding Knowledge in Commerce, Management, Tourism and Services
HERDC Research category E1 Full written paper - refereed
ERA Research output type E Conference publication
Persistent URL http://hdl.handle.net/10536/DRO/DU:30005383

Document type: Conference Paper
Collection: School of Accounting, Economics and Finance
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