Realized volatility of index constituent stocks in Hong Kong
Publication in refereed journal


香港中文大学研究人员 ( 现职)

周应峰教授 (金融学系)

全文

数位物件识别号 (DOI) http://dx.doi.org/10.1016/j.matcom.2008.10.007

引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/0WOS source URL

其它资讯

摘要High-frequency financial data are useful for studying the statistical properties of asset returns at lower frequencies, and they have been widely used to study various market microstructure related issues. However. most studies to date have been concentrated on markets in developed economics such as the stock markets in US or UK, This article aims to investigate the statistical properties of stock return volatility in Hong Kong. Using the sample of constituent stocks of Hang Seng Index (HSI) and Hang Seng China Enterprises Index (HSCEI or "H-shares Index"), we found that the mean daily realized volatilities of HSCEI stocks to be significantly higher than their HSI counterpart, while the correlations between H-shares stay relatively lower than that of HSI stocks. A long-memory effect is also reported for the logarithmic standard deviations of all shares, with most of them showing slow decay over the series. (c) 2http://aims.cuhk.edu.hk/converis/portal/Publication/0http://aims.cuhk.edu.hk/converis/portal/Publication/08 IMACS. Published by Elsevier B.V. All rights reserved.

着者Chow YF, Lam JTK, Yeung HS
会议名称17th MSSANZ/IMACS Biennial Conference on Modelling and Simulation
会议开始日1http://aims.cuhk.edu.hk/converis/portal/Publication/0.12.2http://aims.cuhk.edu.hk/converis/portal/Publication/0http://aims.cuhk.edu.hk/converis/portal/Publication/07
会议完结日13.12.2http://aims.cuhk.edu.hk/converis/portal/Publication/0http://aims.cuhk.edu.hk/converis/portal/Publication/07
会议地点Christchurch
期刊名称Mathematics and Computers in Simulation
出版年份2http://aims.cuhk.edu.hk/converis/portal/Publication/0http://aims.cuhk.edu.hk/converis/portal/Publication/09
月份5
日期1
卷号79
期次9
出版社Elsevier
页次28http://aims.cuhk.edu.hk/converis/portal/Publication/09 - 2818
国际标準期刊号http://aims.cuhk.edu.hk/converis/portal/Publication/0378-4754
电子国际标準期刊号1872-7166
语言英式英语

关键词Correlation; Equity markets; High-frequency data; Realized volatility
Web of Science 学科类别Computer Science; Computer Science, Interdisciplinary Applications; COMPUTER SCIENCE, INTERDISCIPLINARY APPLICATIONS; Computer Science, Software Engineering; COMPUTER SCIENCE, SOFTWARE ENGINEERING; Mathematics; Mathematics, Applied; MATHEMATICS, APPLIED