Modelling regulatory change V's volume of trading effects in HSIF and HSI volatility

Gannon, Gerard and Au-Yeung, Siu Pang 2008, Modelling regulatory change V's volume of trading effects in HSIF and HSI volatility, Review of Pacific Basin financial markets and policies, vol. 11, no. 1, pp. 47-59, doi: 10.1142/S0219091508001258.

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Title Modelling regulatory change V's volume of trading effects in HSIF and HSI volatility
Author(s) Gannon, Gerard
Au-Yeung, Siu Pang
Journal name Review of Pacific Basin financial markets and policies
Volume number 11
Issue number 1
Start page 47
End page 59
Publisher World Scientific Publishing Co Pty.Ltd
Place of publication Singapore
Publication date 2008
ISSN 0219-0915
Keyword(s) Regulatory change
multivariate volatility
volume of trade
JEL Classification: G14
Summary In an earlier paper, we adopted a bi-variate BEKK–GARCH framework and employed a systematic approach to examine structural breaks in the Hang Seng Index and Index Futures market 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 surrounding the Asian markets crisis. 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. There is some evidence that the Sequential Arrival of Information Model (SIM) provides a platform to explain these market induced effects when volume of trade is accounted for.
Language eng
DOI 10.1142/S0219091508001258
Field of Research 150201 Finance
HERDC Research category C1 Refereed article in a scholarly journal
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Document type: Journal Article
Collections: Faculty of Business and Law
School of Accounting, Economics and Finance
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