Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Return And Volatility Spillovers In Hong Kong Financial Markets
Download Return And Volatility Spillovers In Hong Kong Financial Markets full books in PDF, epub, and Kindle. Read online Return And Volatility Spillovers In Hong Kong Financial Markets ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Book Synopsis Return and Volatility Spillovers in Hong Kong Financial Markets by : Laurence Fung
Download or read book Return and Volatility Spillovers in Hong Kong Financial Markets written by Laurence Fung and published by . This book was released on 2009 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies the return and volatility spillovers between the stock market, the Exchange Fund Notes market and the Hong Kong dollar forward exchange market. Based on a bivariate GARCH model that specifies exogenous influences in the conditional mean and variance equations, this study examines the source and magnitude of the return and volatility spillover between financial markets. The estimation results suggest that while the pattern of return spillover is not clear, there is some evidence of volatility transmissions between selected financial markets in Hong Kong. In terms of the economic impact, however, most of these spillovers are minimal. When financial markets are turbulent, the return spillover from the forward exchange market to the stock market and the volatility transmission from the forward exchange market to the Exchange Fund Notes market can be substantial. As such, close monitoring of the fluctuations in the forward exchange market is warranted.
Book Synopsis Return and Volatility Spillovers Among Asian Stock Markets by : Prashant Mahesh Joshi
Download or read book Return and Volatility Spillovers Among Asian Stock Markets written by Prashant Mahesh Joshi and published by . This book was released on 2018 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt: The study examines the return and volatility spillover among Asian stock markets in India, Hong Kong, Japan, China, Jakarta, and Korea using a six-variable asymmetric generalized autoregressive conditional heteroscedasticity-Baba, Engle, Kraft, and Kroner (GARCH-BEKK) model during February 2, 2007, to February 29, 2010. The author finds evidence of bidirectional return, shock, and volatility spillover among most of the stock markets. The magnitude of volatility linkages is low indicating weak integration of Asian stock markets. The study finds that own volatility spillover is higher than cross-market spillover. The overall persistence of stock market volatility is highest for Japan (0.931) and lowest for China (0.824). The implication of weak integration is that investors will benefit from reduction of diversifiable risk.
Book Synopsis International Spillovers and Volatility Asymmetries by : Kee-hong Bae
Download or read book International Spillovers and Volatility Asymmetries written by Kee-hong Bae and published by . This book was released on 1993 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Spillovers of the U.S. Subprime Financial Turmoil to Mainland China and Hong Kong SAR: Evidence from Stock Markets by : Tao Sun
Download or read book Spillovers of the U.S. Subprime Financial Turmoil to Mainland China and Hong Kong SAR: Evidence from Stock Markets written by Tao Sun and published by INTERNATIONAL MONETARY FUND. This book was released on 2009-08-01 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper focuses on evidence from stock markets as it investigates the spillovers from the United States to mainland China and Hong Kong SAR during the subprime crisis. Using both univariate and multivariate GARCH models, this paper finds that China's stock market is not immune to the financial crisis, as evidenced by the price and volatility spillovers from the United States. In addition, HK's equity returns have exhibited more significant price and volatility spillovers from the United States than China's returns, and past volatility shocks in the United States have a more persistent effect on future volatility in HK than in China, reflecting HK's role as an international financial center. Moreover, the impact of the volatility from the United States on China's stock markets has been more persistent than that from HK, due mainly to the United States as the origin of the subprime crisis. Finally, as expected, the conditional correlation between China and HK has outweighed their conditional correlations with the United States, echoing increasing financial integration between China and HK.
Book Synopsis The Financial Markets of Hong Kong by : Andrew F. Freris
Download or read book The Financial Markets of Hong Kong written by Andrew F. Freris and published by Routledge. This book was released on 2018-10-26 with total page 278 pages. Available in PDF, EPUB and Kindle. Book excerpt: The financial markets of Hong Kong have a reputation for volatility, but careful analysis of past behaviour reveals consistent trends and coherent actions. This study, first published in 1991, at a time of uncertainty before Hong Kong’s transfer to China in 1997, analyses each of the financial markets in the colony, and explains the activities of banks, deposit-taking companies, the stock exchange, and markets in capital, gold, futures, unit trusts, and foreign exchange. Examining these in terms of structure, regulation and in competition, it constitutes not just a description but a thorough analysis of the characteristic dynamics of each market.
Book Synopsis Information Transmission Between Stock Markets in Hong Kong, Europe and the US by : Robert Maderitsch
Download or read book Information Transmission Between Stock Markets in Hong Kong, Europe and the US written by Robert Maderitsch and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This article performs a long-term investigation of information transmission between stock markets in Hong Kong, Europe and the US. The particular focus is on the time- and state-dependence of return spillovers and autocorrelations as well as the related potential deviations from informational efficiency. We use high-frequency data for the Hang Seng, the Euro Stoxx 50 and the S&P 500 index from 2000 to 2011 and conduct Granger causality inference based upon non-overlapping intraday returns. Results from structural break tests suggest that the process of information transmission is structurally stable over time. Moving window regressions, however, reveal short-lived temporary deviations from informational efficiency in the form of weak, but significant spillovers and return autocorrelations. Most pronounced are temporary negative spillovers from the US to Hong Kong as well as temporary positive spillovers from Europe to the US. Threshold model estimations finally indicate that spillovers to the European and the US market are only significant in the state of high realized volatility. Spillovers to Hong Kong, however, tend to be significant in the state of low realized volatility.
Book Synopsis Volatility Spillovers and Contagion from Mature to Emerging Stock Markets by : John Beirne
Download or read book Volatility Spillovers and Contagion from Mature to Emerging Stock Markets written by John Beirne and published by . This book was released on 2009 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the transmission mechanism-contagion-during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature), regional, and local markets are estimated for 41 emerging market economies (EMEs), with a dummy capturing parameter shifts during turbulent episodes. LR tests suggest that mature markets influence conditional variances in many emerging markets. Moreover, spillover parameters change during turbulent episodes. Conditional variances in most EMEs rise during these episodes, but there is only limited evidence of shifts in conditional correlations between mature and emerging markets.
Book Synopsis Return and Volatility Spillover Across Equity Markets Between China and Southeast Asian Countries by : Hung Ngo
Download or read book Return and Volatility Spillover Across Equity Markets Between China and Southeast Asian Countries written by Hung Ngo and published by . This book was released on 2019 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: Purpose - This paper aims to study the daily returns and volatility spillover effects in common stock prices between China and four countries in Southeast Asia (Vietnam, Thailand, Singapore and Malaysia).Design/methodology/approach - The analysis uses a vector autoregression with a bivariate GARCHBEKK model to capture return linkage and volatility transmission spanning the period including the pre- and post-2008 Global Financial Crisis.Findings - The main empirical result is that the volatility of the Chinese market has had a significant impact on the other markets in the data sample. For the stock return, linkage between China and other markets seems to be remarkable during and after the Global Financial Crisis. Notably, the findings also indicate that the stock markets are more substantially integrated into the crisis.Practical implications - The results have considerable implications for portfolio managers and institutional investors in the evaluation of investment and asset allocation decisions. The market participants should pay more attention to assess the worth of across linkages among the markets and their volatility transmissions. Additionally, international portfolio managers and hedgers may be better able to understand how the volatility linkage between stock markets interrelated overtime; this situation might provide them benefit in forecasting the behavior of this market by capturing the other market information.Originality/value - This paper would complement the emerging body of existing literature by examining how China stock market impacts on their neighboring countries including Vietnam, Thailand, Singapore and Malaysia. Furthermore, this is the first investigation capturing return linkage and volatility spill over between China market and the four Southeast Asian markets by using bivariate VAR-GARCH-BEKK model. The authors believe that the results of this research's empirical analysis would amplify the systematic understanding of spillover activities between China stock market and other stock markets.
Book Synopsis RISK & RETURN IN FINANCIAL MAR by : Yat-Ming Tsang
Download or read book RISK & RETURN IN FINANCIAL MAR written by Yat-Ming Tsang and published by Open Dissertation Press. This book was released on 2017-01-26 with total page 86 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation, "Risk and Return in Financial Markets: a Study of the Hong Kong Stock Market" by Yat-ming, Tsang, 曾日明, was obtained from The University of Hong Kong (Pokfulam, Hong Kong) and is being sold pursuant to Creative Commons: Attribution 3.0 Hong Kong License. The content of this dissertation has not been altered in any way. We have altered the formatting in order to facilitate the ease of printing and reading of the dissertation. All rights not granted by the above license are retained by the author. DOI: 10.5353/th_b3197673 Subjects: Stock exchanges - China - Hong Kong Capital assets pricing model Risk - China - Hong Kong Rate of return - China - Hong Kong Stocks
Book Synopsis The Study of Nonlinear Correlation Between Shanghai, Hongkong and American Stock Returns -- An Empirical Analysis Based on MS-VAR Model and MS-DCC-MVGARCH Model by : Decai Zhou
Download or read book The Study of Nonlinear Correlation Between Shanghai, Hongkong and American Stock Returns -- An Empirical Analysis Based on MS-VAR Model and MS-DCC-MVGARCH Model written by Decai Zhou and published by . This book was released on 2014 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: Considering the mean and the volatility correlation of Chinese and foreign stock market may undergo structural changes because of the reform and opening-up, the paper attempts to incorporate Markov state transition mechanism(MS) into both the VAR model and DCC-MVGARCH model at the same time. Based on that, it constructs the MS-VAR model and MS-DCC-MVGARCH model to empirically verify the nonlinear mean spillover effect and the volatility correlation among the Shanghai, Hong Kong and American stock markets. Empirical research shows that: firstly, there exists differentiating character among the correlation of these stock markets. USA stock market has positive spillover effect on Shanghai and Hong Kong stock markets, but it is not obvious conversely; at the same time; the volatility correlation between Shanghai and Hong Kong stock market is the highest, and it presents periodic volatility, while the volatility correlation between HK and US is the lowest, and it presents a stable fluctuant feature. Secondly, the interaction among the effects of Shanghai, Hong Kong and American Stock Market presents the obvious non-linear feature. The mean spillover effect among these stock markets in state 2 is significantly greater than in state 1; at the same time, the effects of volatility among these stock markets in state 1 is significantly higher than that of in state 2.
Book Synopsis Stock Market Volatility by : Greg N. Gregoriou
Download or read book Stock Market Volatility written by Greg N. Gregoriou and published by CRC Press. This book was released on 2009-04-08 with total page 654 pages. Available in PDF, EPUB and Kindle. Book excerpt: Up-to-Date Research Sheds New Light on This Area Taking into account the ongoing worldwide financial crisis, Stock Market Volatility provides insight to better understand volatility in various stock markets. This timely volume is one of the first to draw on a range of international authorities who offer their expertise on market volatility in devel
Book Synopsis Spillover Effects among the Greater China Stock Markets by : Anders C. Johansson
Download or read book Spillover Effects among the Greater China Stock Markets written by Anders C. Johansson and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper explores the linkages among the different stock markets in the Greater China region (China, Hong Kong, and Taiwan). The empirical findings show no indications of long-run relationships among the markets. There are, however, short-run spillover effects in both returns and volatility in the region. Both China and Hong Kong are affected by mean spillover effects from Taiwan. Volatility in the Hong Kong market spills over into Taiwan, which in turn affects the volatility in the Mainland China market. This means that the Mainland China market is related to other markets, even though the possibilities for outside investments have been limited until recently. Overall, the study shows significant interdependencies among the three markets, a result that has important implications for both policymakers and investors in the region.
Book Synopsis Return and Volatility Spillovers Among the East Asian Equity Markets by : Kamil Yılmaz
Download or read book Return and Volatility Spillovers Among the East Asian Equity Markets written by Kamil Yılmaz and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This article examines the extent of contagion and interdependence across the East Asian equity markets since early 1990s and compares the ongoing crisis with earlier episodes. Using the forecast error variance decomposition from a vector autoregression, we derive return and volatility spillover indices over the rolling sub-sample windows. We show that there is substantial difference between the behavior of the East Asian return and volatility spillover indices over time. While the return spillover index reveals increased integration among the East Asian equity markets, the volatility spillover index experiences significant bursts during major market crises, including the East Asian crisis. The fact that both return and volatility spillover indices reached their respective peaks during the current global financial crisis attests to the severity of the current episode. -- Stock returns ; Volatility ; Spillovers ; Vector autoregression ; Variance decomposition
Book Synopsis Regime Shifts and Volatility Spillovers on International Stock Markets by : John Hassler
Download or read book Regime Shifts and Volatility Spillovers on International Stock Markets written by John Hassler and published by . This book was released on 1995 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Risk and Return in Financial Markets by : Yat-ming Tsang
Download or read book Risk and Return in Financial Markets written by Yat-ming Tsang and published by . This book was released on 1991 with total page 94 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis International Capital Flows by : Martin Feldstein
Download or read book International Capital Flows written by Martin Feldstein and published by University of Chicago Press. This book was released on 2007-12-01 with total page 500 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent changes in technology, along with the opening up of many regions previously closed to investment, have led to explosive growth in the international movement of capital. Flows from foreign direct investment and debt and equity financing can bring countries substantial gains by augmenting local savings and by improving technology and incentives. Investing companies acquire market access, lower cost inputs, and opportunities for profitable introductions of production methods in the countries where they invest. But, as was underscored recently by the economic and financial crises in several Asian countries, capital flows can also bring risks. Although there is no simple explanation of the currency crisis in Asia, it is clear that fixed exchange rates and chronic deficits increased the likelihood of a breakdown. Similarly, during the 1970s, the United States and other industrial countries loaned OPEC surpluses to borrowers in Latin America. But when the U.S. Federal Reserve raised interest rates to control soaring inflation, the result was a widespread debt moratorium in Latin America as many countries throughout the region struggled to pay the high interest on their foreign loans. International Capital Flows contains recent work by eminent scholars and practitioners on the experience of capital flows to Latin America, Asia, and eastern Europe. These papers discuss the role of banks, equity markets, and foreign direct investment in international capital flows, and the risks that investors and others face with these transactions. By focusing on capital flows' productivity and determinants, and the policy issues they raise, this collection is a valuable resource for economists, policymakers, and financial market participants.
Author :Charles Albert Eric Goodhart Publisher :Oxford University Press, USA ISBN 13 :9780199261109 Total Pages :236 pages Book Rating :4.2/5 (611 download)
Book Synopsis Intervention to Save Hong Kong by : Charles Albert Eric Goodhart
Download or read book Intervention to Save Hong Kong written by Charles Albert Eric Goodhart and published by Oxford University Press, USA. This book was released on 2003 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt: By August 1998, the Hong Kong economy had become threatened not only by the natural consequences of the Asian crisis (1997-98), but also by waves of speculation, betting that the authorities would be forced to abandon the linked exchange rate (to the US dollar). When facing previous speculative attacks (starting October 1997), the authorities had followed traditional policies of raising interest rates. But by August 1998, such policies had helped to batter asset markets; property prices and output were falling, and confidence was low. Moreover, the speculators had developed an ingenious 'double play', simultaneously selling both the foreign exchange market and the Hang Seng equity market short; whether the authorities used an interest rate defense, or abandoned the 'link', the speculators would gain either way. So, the authorities decided on a bold, unexpected and unconventional response to reports of a further attack. They would undertake counter-intervention, again both in the equity and foreign exchange markets. This book provides a fascinating story in itself, and insights into what lessons academics and practitioners can learn from the turbulent events of the time.
