English, Article edition: Modelling Regulatory Change V's Volume, of Trading Effects in HSIF and HSI Volatility Gerard Gannon; Siu Pang Au-Yeung

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/132510
Physical Description
  • article
Language
  • English

Edition details

Title
  • Modelling Regulatory Change V's Volume, of Trading Effects in HSIF and HSI Volatility
Author
  • Gerard Gannon
  • Siu Pang Au-Yeung
Physical Description
  • article
Notes
  • In an earlier paper, we adopted a bi-variate BEKKâGARCH 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.
  • Regulatory change, multivariate volatility, volume of trade, JEL Classification: G14
  • RePEc:wsi:rpbfmp:v:11:y:2008:i:01:p:47-59
Language
  • English
Contributed by
OAIster

Get this edition

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment