THE IMPACT OF THE 1997 HANDOVER ON THE EFFICIENCY OF THE HONG KONG STOCK MARKET

被引：1

作者：

Chong, Terence Tai-Leung ^{[1
]}

Lok, Lily ^{[1
]}

机构：

[1] Chinese Univ Hong Kong, Dept Econ, Shatin, Hong Kong, Peoples R China

来源：

SINGAPORE ECONOMIC REVIEW | 2007年 / 52卷 / 01期

关键词：

Efficient market hypothesis; trading rules; structural change;

D O I：

10.1142/S0217590807002543

中图分类号：

F [经济];

学科分类号：

02 ;

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 (2000), 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.

引用

页码：27 / 38

页数：12

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