Is the Hong Kong Stock Market Asymmetrical in Behavior?
This study uncovers that there exists asymmetrical market reaction on the positive and negative news by the TGARCH, EGARCH and EGARCH – M models.Thus, investors could use the calendar anomaly in terms of asymmetrical behavior information to avoid and reduce the risk when investing in the Hong Kong...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | en |
| Published: |
EconBiz
2015
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| Subjects: | |
| Online Access: | http://ir.unimas.my/id/eprint/17989/1/Is%20the%20Hong%20Kong%20Stock%20Market%20Asymmetrical%20in%20Behavior%20%28abstract%29.pdf http://ir.unimas.my/id/eprint/17989/ https://www.researchgate.net/publication/301548678 |
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