Wealth, Volume and Stock Market Volatility: Case of Hong Kong (1993-2001)
AbstractThis paper attempts to answer the question of whether the gain and loss in property market speculations and rate of information flow play a significant role in stock market volatility in Hong Kong. To test for our wealth-volume-volatility hypothesis, two different measures of volatility: Absolute (absolute value of standard deviation from mean with monthly dimension) and conditional (EGARCH) are used and results are compared. In both measures we find evidence of a positive wealth effect on stock market volatility, in particular in the investment of upper luxury class of property in Hong Kong. To account for this result, we apply the newly developed conditional confidence theory. Although we fail to establish a volume-volatility relationship in our estimation, we offer additional dimensions to the explanation of our observation.
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Bibliographic InfoPaper provided by Trinity College Dublin, Department of Economics in its series Trinity Economics Papers with number 20035.
Date of creation: 2003
Date of revision:
This paper has been announced in the following NEP Reports:
- NEP-ALL-2003-11-09 (All new papers)
- NEP-FIN-2003-11-09 (Finance)
- NEP-FMK-2003-11-09 (Financial Markets)
- NEP-SEA-2003-11-09 (South East Asia)
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