Please use this identifier to cite or link to this item:
|Title:||The political economy of volatility dynamics in the Hong Kong Stock Market|
|Authors:||Mun Fong, W.A.I.|
Seng Koh, K.E.E.
|Keywords:||Leverage effect and political risk|
|Source:||Mun Fong, W.A.I.,Seng Koh, K.E.E. (2002). The political economy of volatility dynamics in the Hong Kong Stock Market. Asia-Pacific Financial Markets 9 (3-4) : 259-282. ScholarBank@NUS Repository.|
|Abstract:||Despite its obvious importance, little empirical research has examined the impact of political risk on stock market volatility. This paper uses data on the Hong Kong stock market over a long sample period to investigate whether political risk has induced regime shifts in stock market volatility. Regime shifts are modelled via a Markov switching EGARCH model that allows for regime-dependent volatility asymmetry. We find strong evidence of regime shifts in conditional volatility as well as significant volatility asymmetry in high volatility periods. Major political uncertainties were reflected in a switch to the high-volatility regime. However, contrary to popular perceptions, we find no evidence that the Hong Kong stock market has become persistently more volatile since the start of Sino-British political negotiations in 1982. © 2003 Kluwer Academic Publishers.|
|Source Title:||Asia-Pacific Financial Markets|
|Appears in Collections:||Staff Publications|
Show full item record
Files in This Item:
There are no files associated with this item.
checked on Dec 8, 2017
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.