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dc.contributor.authorXu, Baining
dc.date.accessioned2018-02-28T03:04:15Z
dc.date.available2018-02-28T03:04:15Z
dc.date.copyright2006
dc.identifier.urihttp://hdl.handle.net/10292/11356
dc.description.abstractThis study examines the changing nature of volatility in the Hong Kong stock market using daily returns from 1993 to 2004. In particular, I investigate volatility co-movements between the Hong Kong stock market and the markets of US, UK, Japan and China using Univariate GARCH, Vector Autoregressions, and Structural Vector Autoregressive models to capture the volatility linkages. The empirical results indicate that there is a high degree of volatility co-movement between the Hong Kong market and those of the US and Japan. Volatilities are persistent in all five markets. In line with previous studies, I find the US market is the most influential market. Though Hong Kong and China are geographically and economically close, the Chinese market has a small impact on the Hong Kong market.en_NZ
dc.language.isoenen_NZ
dc.publisherAuckland University of Technology
dc.subjectStocks -- Prices -- Mathematical models -- China -- Hong Kongen_NZ
dc.subjectStock exchanges -- China -- Hong Kongen_NZ
dc.titleModeling volatility in the Hong Kong stock marketen_NZ
dc.typeDissertationen_NZ
thesis.degree.grantorAuckland University of Technology
thesis.degree.nameMaster of Businessen_NZ
dc.rights.accessrightsOpenAccess


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