Please use this identifier to cite or link to this item: https://scholarbank.nus.edu.sg/handle/10635/44502
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dc.titleThe political economy of volatility dynamics in the Hong Kong Stock Market
dc.contributor.authorMun Fong, W.A.I.
dc.contributor.authorSeng Koh, K.E.E.
dc.date.accessioned2013-10-09T08:22:20Z
dc.date.available2013-10-09T08:22:20Z
dc.date.issued2002
dc.identifier.citationMun 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.
dc.identifier.issn13872834
dc.identifier.urihttp://scholarbank.nus.edu.sg/handle/10635/44502
dc.description.abstractDespite 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.
dc.sourceScopus
dc.subjectLeverage effect and political risk
dc.subjectRegime switching
dc.subjectVolatility
dc.typeArticle
dc.contributor.departmentFINANCE & ACCOUNTING
dc.description.sourcetitleAsia-Pacific Financial Markets
dc.description.volume9
dc.description.issue3-4
dc.description.page259-282
dc.identifier.isiutNOT_IN_WOS
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