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.