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An outlier analysis of the Hong Kong stock market index

Author

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  • Iris Yeung
  • Nelson Chiu

Abstract

The joint estimation procedure of Chen and Liu was applied to the 1997 daily Hong Kong stock market index data for outlier detection and model estimation. The results indicate that the handover of Hong Kong's sovereignty to China on 30 June 1997 seems to have had no effect on the index. The 14 outliers found during the period 2 January to 5 December 1997 are all related to economic events.

Suggested Citation

  • Iris Yeung & Nelson Chiu, 2000. "An outlier analysis of the Hong Kong stock market index," Applied Economics Letters, Taylor & Francis Journals, vol. 7(8), pages 531-534.
    • Handle: RePEc:taf:apeclt:v:7:y:2000:i:8:p:531-534
    DOI: 10.1080/13504850050033328
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    Cited by:

    1. Tseng Shoiw-Mei, 2015. "Poland’s Trade with East Asia: An Outlier Approach," Folia Oeconomica Stetinensia, Sciendo, vol. 15(2), pages 81-100, December.

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