Modelling Regulatory Change V's Volume, of Trading Effects in HSIF and HSI Volatility

Review of Pacific Basin Financial Markets and Policies, Vol. 11, Issue 1, pp. 47-59, 2008

Posted: 14 Oct 2009

See all articles by Gerard L. Gannon

Gerard L. Gannon

Deakin University - School of Accounting, Economics and Finance

Siu Pang Elvis Au-Yeung

affiliation not provided to SSRN

Date Written: March 2008

Abstract

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 (SIM) provides a platform to explain these market induced effects when volume of trade is accounted for.

Keywords: Regulatory change, multivariate volatility, volume of trade

JEL Classification: G14

Suggested Citation

Gannon, Gerard L. and Au-Yeung, Siu Pang Elvis, Modelling Regulatory Change V's Volume, of Trading Effects in HSIF and HSI Volatility (March 2008). Review of Pacific Basin Financial Markets and Policies, Vol. 11, Issue 1, pp. 47-59, 2008 , Available at SSRN: https://ssrn.com/abstract=1488013

Gerard L. Gannon (Contact Author)

Deakin University - School of Accounting, Economics and Finance ( email )

221 Burwood Highway
Burwood, Victoria 3215
Australia

Siu Pang Elvis Au-Yeung

affiliation not provided to SSRN ( email )

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Abstract Views
334
PlumX Metrics