An outlier analysis of the Hong Kong stock market index
Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
Author(s)
Related Research Unit(s)
Detail(s)
| Original language | English |
|---|---|
| Pages (from-to) | 531-534 |
| Journal / Publication | Applied Economics Letters |
| Volume | 7 |
| Issue number | 8 |
| Publication status | Published - 2000 |
Link(s)
Abstract
The joint estimation procedure of Chen and Liu was applied to the 1997 daily Hong Kong stock market index data for outlier detection and model estimation. The results indicate that the handover of Hong Kong's sovereignty to China on 30 June 1997 seems to have had no effect on the index. The 14 outliers found during the period 2 January to 5 December 1997 are all related to economic events.
Citation Format(s)
An outlier analysis of the Hong Kong stock market index. / Yeung, Iris; Chiu, Nelson.
In: Applied Economics Letters, Vol. 7, No. 8, 2000, p. 531-534.
In: Applied Economics Letters, Vol. 7, No. 8, 2000, p. 531-534.
Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
