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Realized volatility of index constituent stocks in Hong Kong

Author

Listed:
  • Chow, Ying-Foon
  • Lam, James T.K.
  • Yeung, Hinson S.

Abstract

High-frequency financial data are useful for studying the statistical properties of asset returns at lower frequencies, and they have been widely used to study various market microstructure related issues. However, most studies to date have been concentrated on markets in developed economies such as the stock markets in US or UK. This article aims to investigate the statistical properties of stock return volatility in Hong Kong. Using the sample of constituent stocks of Hang Seng Index (HSI) and Hang Seng China Enterprises Index (HSCEI or “H-shares Index”), we found that the mean daily realized volatilities of HSCEI stocks to be significantly higher than their HSI counterpart, while the correlations between H-shares stay relatively lower than that of HSI stocks. A long-memory effect is also reported for the logarithmic standard deviations of all shares, with most of them showing slow decay over the series.

Suggested Citation

  • Chow, Ying-Foon & Lam, James T.K. & Yeung, Hinson S., 2009. "Realized volatility of index constituent stocks in Hong Kong," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(9), pages 2809-2818.
    • Handle: RePEc:eee:matcom:v:79:y:2009:i:9:p:2809-2818
    DOI: 10.1016/j.matcom.2008.10.007
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    References listed on IDEAS

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