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| Author: | Kim, H.Y. Mei, J.P. |
| Title: | What makes the stock market jump? An analysis of political risk in Hong Kong stock returns |
| Journal: | Journal of International Money and Finance
2001 : DEC, VOL. 20:7, p. 1003-1016 |
| Index terms: | POLITICAL RISKS STOCK MARKETS STOCK RETURNS HONG KONG |
| Language: | eng |
| Abstract: | This paper employs a components-jump volatility filter to investigate the possible market impact of political risk. The filter operates by indentifying jump return dates, which are then associated with political events, allowing us to measure the market return and volatility effects of political announcements. The empirical results show that political developments in Hong Kong have a significant impact on its market volatility and return. |
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