Regulatory change, structural breaks, and transmission effects in HSIF and HSI volatility

Au-Yeung, Siu Pang and Gannon, Gerard 2005, Regulatory change, structural breaks, and transmission effects in HSIF and HSI volatility, Review of futures markets, vol. 14, no. 2, pp. 285-310.

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Title Regulatory change, structural breaks, and transmission effects in HSIF and HSI volatility
Author(s) Au-Yeung, Siu Pang
Gannon, Gerard
Journal name Review of futures markets
Volume number 14
Issue number 2
Start page 285
End page 310
Publisher Chicago Board of Trade
Place of publication Chicago, Ill.
Publication date 2005
ISSN 0898-011X
Keyword(s) volatility transmissions
regulatory change
multivariate volatility
Summary A systematic BEKK-GARCH model with multiple switch points in the variance equations captures the structural changes that have taken place in the Hong Kong markets. Abolishment of the uptick rule in the Hong Kong stock market, increase of initial margins, and electronic trading of Hang Seng Index Futures are found to have significant impacts. These changes affect the volatility structure of the HSI and HSIF and hence their lead-lag relationship. The multivariate GARCH model with three specific switching points is found to be superior to any other combination of up to six separate switch points.
Language eng
Field of Research 150201 Finance
HERDC Research category C1 Refereed article in a scholarly journal
Persistent URL http://hdl.handle.net/10536/DRO/DU:30006510

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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