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Wealth, Volume and Stock Market Volatility: Case of Hong Kong (1993-2001)

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  • Matthew C. Li

Abstract

This paper attempts to answer the question of whether the gain and loss in property market speculations and rate of information flow play a significant role in stock market volatility in Hong Kong. To test for our wealth-volume-volatility hypothesis, two different measures of volatility: Absolute (absolute value of standard deviation from mean with monthly dimension) and conditional (EGARCH) are used and results are compared. In both measures we find evidence of a positive wealth effect on stock market volatility, in particular in the investment of upper luxury class of property in Hong Kong. To account for this result, we apply the newly developed conditional confidence theory. Although we fail to establish a volume-volatility relationship in our estimation, we offer additional dimensions to the explanation of our observation.

Suggested Citation

  • Matthew C. Li, 2003. "Wealth, Volume and Stock Market Volatility: Case of Hong Kong (1993-2001)," Trinity Economics Papers 20035, Trinity College Dublin, Department of Economics.
    • Handle: RePEc:tcd:tcduee:20035
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    References listed on IDEAS

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    Cited by:

    1. Rubens Pauluzzo & Enrico Geretto, 2013. "Stock Exchange Markets in Hong Kong: Structure and Main Problems," Transition Studies Review, Springer;Central Eastern European University Network (CEEUN), vol. 20(1), pages 33-48, April.

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