A Supplementary Mimeo to the Paper Titled 'The Adjustment of the Yule-Walker Relations in VAR Modeling: The Impact of the Euro on the Hong Kong Stock Market'

2002 ◽  
Author(s):  
Timothy J. Brailsford ◽  
Jack H.W. Penm ◽  
R. Deane Terrell
Keyword(s):  
Hong Kong ◽  
Stock Market ◽  
The Impact ◽  
Hong Kong Stock Market

scholarly journals The Adjustment of the Yule-Walker Relations in VAR Modeling: The Impact of the Euro on the Hong Kong Stock Market

2001 ◽  
Vol 5 (1) ◽  
pp. 35-58 ◽  
Author(s):  
Tim Brailsford ◽  
◽  
Jack H.W. Penm ◽  
R. Deane Terrell ◽  
◽  
...  
Keyword(s):  
Hong Kong ◽  
Stock Market ◽  
The Impact ◽  
Hong Kong Stock Market

THE IMPACT OF THE 1997 HANDOVER ON THE EFFICIENCY OF THE HONG KONG STOCK MARKET

2007 ◽  
Vol 52 (01) ◽  
pp. 27-38 ◽  
Author(s):  
TERENCE TAI-LEUNG CHONG ◽  
LILY LOK
Keyword(s):  
Hong Kong ◽  
Stock Market ◽  
Trading Rules ◽  
Data Collection Period ◽  
Before And After ◽  
British Colony ◽  
Collection Period ◽  
1997 Handover ◽  
The Impact ◽  
Hong Kong Stock Market

On the first of July 1997, the formerly British colony of Hong Kong was returned to China. This paper compares the profitability of various trading rules on the Hang Seng Index both before and after the handover. Our work extends that of Coutts and Cheung (2000), whose study focuses on pre-1997 Hong Kong, in terms of both the data collection period as well as the number of trading rules studied. The authors find that, among the trading rules examined herein, the Trade Range Breakout rule generates the highest returns. We also conclude that, in general, the handover of Hong Kong to China does not affect the efficiency of the Hong Kong stock market.

scholarly journals Does switching trading venues create value? Evidence from Hong Kong

2020 ◽  
Vol 27 (2) ◽  
pp. 209-222 ◽  
Author(s):  
Johnny K.H. Kwok
Keyword(s):  
Hong Kong ◽  
Stock Market ◽  
Stock Price ◽  
Abnormal Returns ◽  
Excess Returns ◽  
Trading Activity ◽  
Content Type ◽  
Growth Enterprise Market ◽  
Two Measures ◽  
Hong Kong Stock Market

PurposeThe purpose of this paper is to study whether switching trading venues create value in the Hong Kong stock market.Design/methodology/approachBy using an event study, the paper investigates the abnormal returns (AR) earned by firms in the Growth Enterprise Market (GEM) relating to switching to the Main Board (MB). Two measures, turnover of the stock and Amihud’s (2002) illiquidity ratio, are used to examine the liquidity effects.FindingsThe switch is accompanied by a long-term increase in stock price for low liquidity firms only. High liquidity firms underperform with persistent negative excess returns after switching, while the transient negative excess returns in low liquidity firms reverse gradually. The results further show a significant increase in trading activity for low liquidity firms following the switch, while there is a significant decline in both trading activity and liquidity in firms with high liquidity. The overall results suggest that moving from GEM to the MB is beneficial to low liquidity firms but detrimental to high liquidity firms.Originality/valueThis study is the first to investigate whether moving from GEM to the MB creates value in the Hong Kong stock market.

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