Is the Hong Kong Stock Market Asymmetrical in Behavior?

Liew, Venus Khim-Sen and Chia, Ricky Chee-Jiun and Syed Azizi Wafa, Syed Khalid Wafa (2015) Is the Hong Kong Stock Market Asymmetrical in Behavior? The Empirical Economics Letters, 14 (1). ISSN 1681-8997

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Official URL: https://www.researchgate.net/publication/301548678

Abstract

This study uncovers that there exists asymmetrical market reaction on the positive and negative news by the TGARCH, EGARCH and EGARCH – M models.Thus, investors could use the calendar anomaly in terms of asymmetrical behavior information to avoid and reduce the risk when investing in the Hong Kong stock market.

Item Type: E-Article
Uncontrolled Keywords: Hong Kong Stock Market, asymmetrical behavior, TGARCH, EGARCH, EGARCH-M, unimas, university, universiti, Borneo, Malaysia, Sarawak, Kuching, Samarahan, ipta, education, research, Universiti Malaysia Sarawak
Subjects: H Social Sciences > H Social Sciences (General)
Divisions: Academic Faculties, Institutes and Centres > Faculty of Economics and Business
Depositing User: ROSSAZANA AB RAHIM
Date Deposited: 09 Oct 2017 03:54
Last Modified: 09 Oct 2017 03:54
URI: http://ir.unimas.my/id/eprint/17989

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