IDEAS home Printed from https://ideas.repec.org/p/dkn/acctwp/aef_2004_11.html
   My bibliography  Save this paper

Regulatory Change, Structural Breaks and Transmission Effects in HSIF abd HSI Volatility

Author

Listed:

Abstract

A systematic BEKK-GARCH model with multiple switch points in the variance equations is found to capture the structural changes that have taken place in the Hong Kong markets. Abolishment of the uptick rule in the Hong Kong stock market, increase of initial margins and electronic trading of Hang Seng Index Futures are found to have significant impacts These changes affect the volatility structure of the HSI and HSIF and hence their lead-lag relationship. The multivariate GARCH model with 3 specific switching points is found to be superior to any other combination of up to six separate switch points.

Suggested Citation

  • Gerard Gannon & Siu Pang Au-Yeung, 2004. "Regulatory Change, Structural Breaks and Transmission Effects in HSIF abd HSI Volatility," Working Papers 2004_11, Deakin University, Department of Economics.
    • Handle: RePEc:dkn:acctwp:aef_2004_11
    as

    Download full text from publisher

    File URL: http://www.deakin.edu.au/buslaw/aef/workingpapers/papers/swp2004-11.pdf
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Volatility transmissions; Regulatory change; Multivariate Volatility;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:dkn:acctwp:aef_2004_11. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Xueli Tang (email available below). General contact details of provider: https://edirc.repec.org/data/sedeaau.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.