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Structural effects and spillovers in HSIF, HSI and S&P500 volatility

Version 2 2024-06-18, 03:30
Version 1 2017-12-19, 14:39
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posted on 2024-06-18, 03:30 authored by G Gannon, SP Au-Yeung
We adopt a BEKK-GARCH framework and employ a systematic approach to jointly examine structural breaks in the Hong Kong cash index and index futures volatility and volatility spillovers from the S&P 500 cash and futures. Multiple switching dummy variables are included in the variance equations to test for any structural changes in the autoregressive volatility structure due to the events that have taken place in the Hong Kong market. Abolishment of the up-tick rule, increase of initial margins and electronic trading of the Hang Seng Index Futures are found to have significant impact when U.S. market spillovers are excluded from a restricted model. Volatility spillovers from the US market are found to have a significant impact and account for some mis-specification in the restricted model.

History

Pagination

1-22

Language

eng

Publication classification

CN.1 Other journal article

Copyright notice

2004, The Authors

Publisher

Deakin University, School of Accounting, Economics and Finance

Place of publication

Geelong, Vic.

Series

School Working Paper - Series 2004 ; SWP 2004/08

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