TY - JOUR
T1 - An outlier analysis of the Hong Kong stock market index
AU - Yeung, Iris
AU - Chiu, Nelson
PY - 2000
Y1 - 2000
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=0040951659&partnerID=8YFLogxK
UR - https://www.scopus.com/record/pubmetrics.uri?eid=2-s2.0-0040951659&origin=recordpage
U2 - 10.1080/13504850050033328
DO - 10.1080/13504850050033328
M3 - RGC 21 - Publication in refereed journal
SN - 1350-4851
VL - 7
SP - 531
EP - 534
JO - Applied Economics Letters
JF - Applied Economics Letters
IS - 8
ER -