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

Gannon, Gerald and Au-Yeung, Siu 2004, Structural effects and spillovers in HSIF, HSI and S & P500 volatility, Research in international business and finance, vol. 18, no. 3, pp. 305-317, doi: 10.1016/j.ribaf.2004.04.005.

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Title Structural effects and spillovers in HSIF, HSI and S & P500 volatility
Author(s) Gannon, Gerald
Au-Yeung, Siu
Journal name Research in international business and finance
Volume number 18
Issue number 3
Start page 305
End page 317
Publisher JAI Press Inc.
Place of publication Greenwich, Conn.
Publication date 2004-09
ISSN 0275-5319
Keyword(s) multivariate volatility
regulatory change
volatility transmissions
Summary 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 (HSIF) are found to have significant impact when US 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.
Notes Available online 12 August 2004.
Language eng
DOI 10.1016/j.ribaf.2004.04.005
Field of Research 150201 Finance
HERDC Research category C1 Refereed article in a scholarly journal
Copyright notice ©2004, Elsevier B.V.
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Document type: Journal Article
Collections: Faculty of Business and Law
School of Accounting, Economics and Finance
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