Modelling Regulatory Change V's Volume of Trade Effects in HSIF and HSI Volatility: A Note
In an earlier paper we adopted a Bi-variate BEKK-GARCH framework and employed a systematic approach to examine structural breaks in the Hang Seng Index and Index Futures market volatility. Switching dummy variables were included and tested in the variance equations to check for any structural changes in the autoregressive volatility structure due to the events that have taken place in the Hong Kong market surrounding the Asian markets crisis. In this paper we include measures of daily trading volume from both markets in the estimation. Likelihood ratio tests indicate the switching dummy variables become insignificant and the GARCH effects diminish but remain significant. There is some evidence that the Sequential arrival of Information Model provides a platform to explain these market induced effects when volume of trade is accounted for.
|Date of creation:||21 Apr 2007|
|Contact details of provider:|| Postal: 221 Burwood Highway, Burwood 3125|
Phone: 61 3 9244 3815
Fax: +61 3 5227 2655
Web page: http://www.deakin.edu.au/buslaw/aef/index.php
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:dkn:acctwp:aef_2007_06. 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: (Dr Xueli Tang)
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.