Advanced Search
MyIDEAS: Login to save this paper or follow this series

Wealth, Volume and Stock Market Volatility: Case of Hong Kong (1993-2001)

Contents:

Author Info

  • Matthew C. Li
Registered author(s):

    Abstract

    This 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.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.tcd.ie/Economics/TEP/2003_papers/tepno5ML23.PDF
    Download Restriction: no

    Bibliographic Info

    Paper provided by Trinity College Dublin, Department of Economics in its series Trinity Economics Papers with number 20035.

    as in new window
    Length:
    Date of creation: 2003
    Date of revision:
    Handle: RePEc:tcd:tcduee:20035

    Contact details of provider:
    Postal: Trinity College, Dublin 2
    Phone: (+ 353 1) 6081325
    Fax: 6772503
    Web page: http://www.tcd.ie/Economics/
    More information through EDIRC

    Related research

    Keywords:

    This paper has been announced in the following NEP Reports:

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. So, Mike K P & Li, W K & Lam, K, 2002. "A Threshold Stochastic Volatility Model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 21(7), pages 473-500, November.
    2. Kahneman, Daniel & Tversky, Amos, 1979. "Prospect Theory: An Analysis of Decision under Risk," Econometrica, Econometric Society, vol. 47(2), pages 263-91, March.
    3. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
    4. Terrance Odean, 1999. "Do Investors Trade Too Much?," American Economic Review, American Economic Association, vol. 89(5), pages 1279-1298, December.
    5. Richard H. Thaler & Eric J. Johnson, 1990. "Gambling with the House Money and Trying to Break Even: The Effects of Prior Outcomes on Risky Choice," Management Science, INFORMS, vol. 36(6), pages 643-660, June.
    6. Robert J. Shiller, 1998. "Human Behavior and the Efficiency of the Financial System," NBER Working Papers 6375, National Bureau of Economic Research, Inc.
    7. Terrance Odean, 1998. "Are Investors Reluctant to Realize Their Losses?," Journal of Finance, American Finance Association, vol. 53(5), pages 1775-1798, October.
    8. G. William Schwert, 1990. "Why Does Stock Market Volatility Change Over Time?," NBER Working Papers 2798, National Bureau of Economic Research, Inc.
    9. Schwert, G.W., 1989. "Stock Volatility And The Crash Of '87," Papers 89-01, Rochester, Business - General.
    10. Matthew Rabin., 2000. "Risk Aversion and Expected-Utility Theory: A Calibration Theorem," Economics Working Papers E00-279, University of California at Berkeley.
    11. Nicholas Barberis & Ming Huang & Tano Santos, 1999. "Prospect Theory and Asset Prices," NBER Working Papers 7220, National Bureau of Economic Research, Inc.
    12. Karpoff, Jonathan M, 1986. " A Theory of Trading Volume," Journal of Finance, American Finance Association, vol. 41(5), pages 1069-87, December.
    13. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
    14. Karpoff, Jonathan M., 1987. "The Relation between Price Changes and Trading Volume: A Survey," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(01), pages 109-126, March.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Rubens Pauluzzo & Enrico Geretto, 2013. "Stock Exchange Markets in Hong Kong: Structure and Main Problems," Transition Studies Review, Springer, vol. 20(1), pages 33-48, April.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:tcd:tcduee:20035. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Patricia Hughes).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.