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The Impact Of The 1997 Handover On The Efficiency Of The Hong Kong Stock Market

Author

Listed:
  • TERENCE TAI-LEUNG CHONG

    (Department of Economics, The Chinese University of Hong Kong, Shatin, N.T., Hong Kong, China)

  • LILY LOK

    (Department of Economics, The Chinese University of Hong Kong, Shatin, N.T., Hong Kong, China)

Abstract

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.

Suggested Citation

  • Terence Tai-Leung Chong & Lily Lok, 2007. "The Impact Of The 1997 Handover On The Efficiency Of The Hong Kong Stock Market," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 52(01), pages 27-38.
    • Handle: RePEc:wsi:serxxx:v:52:y:2007:i:01:n:s0217590807002543
    DOI: 10.1142/S0217590807002543
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    Cited by:

    1. Carroll, G.R. & Feng, M. & Kuilman, J.G., 2014. "The handover in Hong Kong : Impact on business formation," Other publications TiSEM d1c609d6-3d48-4c49-a0dc-5, Tilburg University, School of Economics and Management.

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