Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 庄太量教授 (经济学系) |
全文
| 数位物件识别号 (DOI) http://dx.doi.org/10.1142/S0217590807002543 |
引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/0WOS source URL
其它资讯
摘要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 (2http://aims.cuhk.edu.hk/converis/portal/Publication/0http://aims.cuhk.edu.hk/converis/portal/Publication/0http://aims.cuhk.edu.hk/converis/portal/Publication/0), 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.
着者Chong TTL, Lok L
期刊名称SINGAPORE ECONOMIC REVIEW
出版年份2http://aims.cuhk.edu.hk/converis/portal/Publication/0http://aims.cuhk.edu.hk/converis/portal/Publication/07
月份4
日期1
卷号52
期次1
出版社WORLD SCIENTIFIC PUBL CO PTE LTD
页次27 - 38
国际标準期刊号http://aims.cuhk.edu.hk/converis/portal/Publication/0217-59http://aims.cuhk.edu.hk/converis/portal/Publication/08
语言英式英语
关键词Efficient market hypothesis; structural change; trading rules
Web of Science 学科类别Business & Economics; Economics; ECONOMICS
