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- W3125712106 abstract "This paper attempts to answer the question of whether the gain and loss in property market speculations and rate of information flow play a significant role in stock market volatility in Hong Kong. To test for our wealth-volume-volatility hypothesis, two different measures of volatility: Absolute (absolute value of standard deviation from mean with monthly dimension) and conditional (EGARCH) are used and results are compared. In both measures we find evidence of a positive wealth effect on stock market volatility, in particular in the investment of upper luxury class of property in Hong Kong. To account for this result, we apply the newly developed conditional confidence theory. Although we fail to establish a volume-volatility relationship in our estimation, we offer additional dimensions to the explanation of our observation." @default.
- W3125712106 created "2021-02-01" @default.
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- W3125712106 date "2003-01-01" @default.
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- W3125712106 title "Wealth, Volume and Stock Market Volatility: Case of Hong Kong (1993-2001)" @default.
- W3125712106 hasPublicationYear "2003" @default.
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