An outlier analysis of the Hong Kong stock market index

Authors
Yeung, I Chiu, N
Citation
I. Yeung et N. Chiu, An outlier analysis of the Hong Kong stock market index, APPL ECON L, 7(8), 2000, pp. 531-534
Citations number
3
Categorie Soggetti
Economics
Journal title
APPLIED ECONOMICS LETTERS
ISSN journal
13504851 → ACNP
Volume
7
Issue
8
Year of publication
2000
Pages
531 - 534
Database
ISI
SICI code
1350-4851(200008)7:8<531:AOAOTH>2.0.ZU;2-I
Abstract
The joint estimation procedure of Chen and Liu was applied to the 1997 dail y Hong Kong stock market index data for outlier detection and model estimat ion. The results indicate that the handover of Hong Kong's sovereignty to C hina on 30 June 1997 seems to have had no effect on the index. The 14 outli ers found during the period 2 January to 5 December 1997 are all related to economic events.