Hongkong Stock Market Research Articles

Information spillovers in Hong Kong REITs and related asset markets

This study examines information spillovers among Hong Kong (HK) REITs, major HK financial markets, major Chinese Mainland financial markets, and the VIX index. Our results reveal that time-varying spillover effects peak during crises, notably during the COVID-19 pandemic. The HK REITs market consistently receives return and volatility spillover effects from the HK stock market and real estate market. Since 2014, the HK REITs market has also been a significant recipient of volatility spillovers from Chinese Mainland stock and real estate markets. Additionally, the VIX index plays a driving role in the risk contagion effect of HK REITs. These findings inform investors in adjusting strategies, optimizing portfolios, and mitigating financial risks.

Asymmetric Movements between the US and Hong-Kong Stock Market Price Indices

In the financial field, we are often faced with data that are somewhat non-linear. Thus, this research investigates the asymmetric behavior of the series through the Threshold Autoregressive and Momentum Threshold asymmetry tests between price index using diary data between of the total price index of actions in stock markets of United States of America (SP500) and Hong Kong (HANG SENG), from January 2, 1995 to March 29, 2013. With the empirical analysis it was possible to see the asymmetry in the series analysed through the TAR and M-TAR models. These oscillations demonstrate that behaviors are distinct in contractions and expansions.

중국증권시장의 정보이전효과에 관한 연구

본 논문은 중국의 상해, 심천, 홍콩증권시장간의 정보이전효과를 연구한 것이다. 세 개의 중국 증권시장은 모두 미국의 증권시장수익률에 강하게 영향을 받는데 그 정도는 개방화가 제일 잘된 홍콩증권시장이 가장 크며 상해증권시장, 심천증권시장의 순으로 영향을 받는 것으로 나타나고 있다. 상해증권시장이나 심천증권시장은 서로 간에 수익률이전효과나 변동성전이효과가 존재하지 않지만 이 두 시장은 모두 홍콩증권시장수익률의 영향을 받는 것으로 나타났다. 하지만 미국증권시장의 움직임을 통제하면 이러한 효과는 사라지게 되어 중국의 증권시장간의 정보이전효과는 존재하지 않는 것으로 나타나고 있다. 이러한 결론은 중국의 세 개의 증권시장이 상호독립적인 성격이 강하다는 것을 의미하며, 중국의 증권시장 연구 시 시장 간의 독립성을 반영해야 할 것으로 생각된다. This study examines stock market co-movement among three China stock markets: Shanghai stock market, Shenzhen stock market, Hongkong stock market. US stock market leads three China stock markets and Honkong stock market leads Shanghai and Shenzhen stock market. But there are no lead-lag effects among China stock markets after controlling US stock market effect. These results could be important for the investors and firms that are interested in China stock markets.

PENGARUH PASAR SAHAM DUNIA TERHADAP PASAR SAHAM INDONESIA

This research was intended to analyze the causality of the global stock markets to Indonesian stock market. The variables of this research were used stock price indices from nine countries. This research using Granger Causality and VAR from 2004 up to 2010. USA, Japan, and England were selected because those countries had strong economics. The results, there are causality Granger among the global stock markets to Indonesian stock market.The global stock markets that has bi-directional causality were Australian stock market, England stock market, Singapore stock market, and Philipine stock market. Meanwhile, the global stock markets that has uni-directional causality were Japan stock market, USA stock market, Hongkong stock market, and Malaysia stock market.DOI: 10.15408/etk.v11i2.1887

MENGKAJI PERUBAHAN NILAI TUKAR RUPIAH DAN PASAR SAHAM

This paper analyzes the relationship between the Exchange rate and the stock market in Jakarta, Singapore, Malaysia, Thailand, Philippine and Hongkong using a high frequency data. We applied the Vector Autoregressive method on the daily data covering 1 July 1997 to 30 June 2006.The analysis provides several results as follows: (i) the exchange rate movements is influenced by the regional and the Hongkong stock market index, except Thailand, (ii) Jakarta stock market index is influenced by the regional stock market except Thailand, (iii) the Rupiah rate influence the regional and Hongkong stock index, (iv) the Jakarta's stock market index is integrated to the regional stock market index. These results may be a usefull as an additional guidance to evaluate the Rupiah's exchange rate and the regional stock market movement in general.JEL Classification: C32, F31, G15 Keywords: Stock, Vector Autoregressive, exchange rate.

The lawyers’ perceptions on overseas incorporated companies listed in Hong Kong

The phenomenon of the majority of the companies listed in Hong Kong (HK) but incorporated overseas (OLCs) has caused a widespread concern among investors from all over the world as well as the policy makers in HK, the United Kingdom and China. However, no empirical study has attempted to find out why these OLCs did not incorporate in HK. This study aims to investigate this issue. We conducted a survey with a sample of HK lawyers advising OLCs. The results suggest that the main attractions for OLCs to list in HK were the absence of exchange control and its sound legal system. The main objective for these OLCs to list in HK was to raise capital. It is also found that the subjects considered the overall contribution of OLCs towards the success of the HK stock market as more important than the contribution of the Hong Kong Stock Exchange to the success of OLCs. Further, the respondents, on average, seemed to be marginally satisfied with the existing HK laws and regulations governing OLCs. Simplicity in these laws and regulations and the reasonable listing requirements were identified as the two most satisfying areas, whereas transparency was singled out as the most unsatisfying area. The implications of these results are discussed in this paper.

Political risk matters—Evidence from the Sino-British Hong Kong talks

One of the most rapidly growing research areas in international business has been political risk assessment. In his pioneering study, Niederhoffer [JB, 1971] examined relations between world events and movements in stock prices. Recently, Cosset and Rianderie [JIBS, 1985] examined the impact of the political climate on foreign exchange rates. In this study, the authors investigate the impact of the Sino-British political talks on the Hongkong stock market. "Talks" used in this study are the headlines appearing in the major newspapers in Hongkong and in Taiwan, in which the date of announcement falls within the period starting November 8, 1980 (the first day when the Sino-British talks was reported) and ending May 27, 1985 (the day when both sides exchanged the ratified accord). There are 112 political events thereby retrieved. Viewed from the perspective of Hongkong stock investors, the 112 events are further partitioned into four mutually exclusive categories; favorable, unfavorable, ambiguous (in most cases, favorable and unfavorable events are reported on the very same day), and inderteminate (primarily caused by the successive arrival of events). Movements in the stock prices following the reporting of the 60 favorable and 21 unfavorable events are then analyzed. Among the 60 favorable events, Hang-Seng stock price indices are found to move upward in the next day in 45 events. As for the unfavorable events, Hang-Seng stock price indices move downward in 16 out of 21 cases. The patterns of movements are in conformity of our expectation. Futhermore, when the sign test is applied in turn to the favorable and the unfavorable group, the null hypothesis that the reporting of Hongkongstatus-related political news has no impact on the movement of the stock price index in Hongkong can be rejected at .05 significance level for each group. On such reinforcing results, the authors therefore conclude that the Sino-British political talks, as expected, have affected the Hongkong stock market.