English, Article edition: THE IMPACT OF THE 1997 HANDOVER ON THE EFFICIENCY OF THE HONG KONG STOCK MARKET TERENCE TAI-LEUNG CHONG; LILY LOK

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Bookmark: http://trove.nla.gov.au/version/132007
Physical Description
  • article
Language
  • English

Edition details

Title
  • THE IMPACT OF THE 1997 HANDOVER ON THE EFFICIENCY OF THE HONG KONG STOCK MARKET
Author
  • TERENCE TAI-LEUNG CHONG
  • LILY LOK
Physical Description
  • article
Notes
  • On the first of July 1997, the formerly British colony of Hong Kong was returned to China. This paper compares the profitability of various trading rules on the Hang Seng Index both before and after the handover. Our work extends that of Coutts and Cheung (2000), whose study focuses on pre-1997 Hong Kong, in terms of both the data collection period as well as the number of trading rules studied. The authors find that, among the trading rules examined herein, the Trade Range Breakout rule generates the highest returns. We also conclude that, in general, the handover of Hong Kong to China does not affect the efficiency of the Hong Kong stock market.
  • Efficient market hypothesis, trading rules, structural change
  • RePEc:wsi:serxxx:v:52:y:2007:i:01:p:27-38
Language
  • English
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