What makes the stock market jump? An analysis of political risk on Hong Kong stock returns

被引：84
|
作者：
Kim, HY
Mei, JPP
机构：
[1] NYU, Leonard N Stern Sch Business, Dept Int Business, New York, NY 10012 USA
[2] Salomon Smith Barney Inc, Hong Kong, Hong Kong, Peoples R China
来源：
JOURNAL OF INTERNATIONAL MONEY AND FINANCE | 2001年 / 20卷 / 07期
关键词：
GARCH-jump process;
D O I：
10.1016/S0261-5606(01)00035-3
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper employs a components-jump volatility filter to investigate the possible market impact of political risk. The filter operates by identifying jump return dates, which are then associated with political events, allowing us to measure the market return and volatility effects of political announcements. Our empirical results show that political developments in Hong Kong have a significant impact on its market volatility and return. The results have some interesting implications for option pricing and political risk management. (C) 2001 Published by Elsevier Science Ltd.
引用
收藏
页码：1003 / 1016
页数：14
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