Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/24103
Title: Return and volatility behavior of dually-traded stocks : the case of Hong Kong
Authors: Wang, SS
Rui, MO
Firth, M
Keywords: Asian financial crisis
Dually-traded stocks
GJR-GARCH
Volatility
Issue Date: 2002
Publisher: Pergamon Press
Source: Journal of international money and finance, 2002, v. 21, no. 2, p. 265-293 How to cite?
Journal: Journal of international money and finance 
Abstract: This paper investigates how returns and volatilities of stocks are correlated for dually-traded stocks on two non-synchronous international markets. Using daily data for the period from October 1996 to July 2000, we provide evidence of returns and volatility spillovers from Hong Kong to London, and from London to Hong Kong. We also observe that the Asian financial crisis has a significantly negative impact on most of the dually-traded stocks in the sample. Finally, we find that our results are robust across two time periods, namely before and after the Hong Kong government's intervention in the financial markets during August 1998.
URI: http://hdl.handle.net/10397/24103
ISSN: 0261-5606
EISSN: 1873-0639
DOI: 10.1016/S0261-5606(01)00039-0
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