Empirical Research on Information Transmission in the Hang Seng Index Markets: Evidence from Index Futures, Flagship Index and Finance Index
(2013) NEKN02 20131Department of Economics
- Abstract
- This paper investigates the price discovery mechanism in the Hang Seng Index markets. The analysis is based on the cross-market volatility spillover effects by using the daily sets of Hang Seng Index (HSI), Hang Seng Finance Index (HSFIN), and Hang Seng Index futures (HSCIS00). In order to testify the influence of 2007 financial tsunami on the volatility spillover effect, the study employs the vector autoregressive model (VAR) and the bivariate GARCH model based on the BEKK parameterization. The testing period has been divided into the pre-crisis (1 April, 2003 to 31 July, 2007) and the crisis & recovery period (1 August, 2007 to 1 April, 2013). The empirical results depict that there exists bi-directional volatility spillover effect... (More)
- This paper investigates the price discovery mechanism in the Hang Seng Index markets. The analysis is based on the cross-market volatility spillover effects by using the daily sets of Hang Seng Index (HSI), Hang Seng Finance Index (HSFIN), and Hang Seng Index futures (HSCIS00). In order to testify the influence of 2007 financial tsunami on the volatility spillover effect, the study employs the vector autoregressive model (VAR) and the bivariate GARCH model based on the BEKK parameterization. The testing period has been divided into the pre-crisis (1 April, 2003 to 31 July, 2007) and the crisis & recovery period (1 August, 2007 to 1 April, 2013). The empirical results depict that there exists bi-directional volatility spillover effect between HSI and HSCIS00 for the whole testing period. In contrast, a strong bi-directional volatility spillover effect between HSFIN and HSCIS00 is only recognized after the outbreak of the 2007 financial crisis. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/3808210
- author
- Qin, Lang LU and Zhou, Yang LU
- supervisor
-
- Lu Liu LU
- organization
- course
- NEKN02 20131
- year
- 2013
- type
- H1 - Master's Degree (One Year)
- subject
- keywords
- Hang Seng Index Futures market, Volatility Spillovers, Financial Crisis, BEKK model
- language
- English
- id
- 3808210
- date added to LUP
- 2013-06-12 14:36:38
- date last changed
- 2013-06-12 14:36:38
@misc{3808210, abstract = {{This paper investigates the price discovery mechanism in the Hang Seng Index markets. The analysis is based on the cross-market volatility spillover effects by using the daily sets of Hang Seng Index (HSI), Hang Seng Finance Index (HSFIN), and Hang Seng Index futures (HSCIS00). In order to testify the influence of 2007 financial tsunami on the volatility spillover effect, the study employs the vector autoregressive model (VAR) and the bivariate GARCH model based on the BEKK parameterization. The testing period has been divided into the pre-crisis (1 April, 2003 to 31 July, 2007) and the crisis & recovery period (1 August, 2007 to 1 April, 2013). The empirical results depict that there exists bi-directional volatility spillover effect between HSI and HSCIS00 for the whole testing period. In contrast, a strong bi-directional volatility spillover effect between HSFIN and HSCIS00 is only recognized after the outbreak of the 2007 financial crisis.}}, author = {{Qin, Lang and Zhou, Yang}}, language = {{eng}}, note = {{Student Paper}}, title = {{Empirical Research on Information Transmission in the Hang Seng Index Markets: Evidence from Index Futures, Flagship Index and Finance Index}}, year = {{2013}}, }