Impact of the Pandemic on Information and E-Commerce Stock Market Returns: The Case of Hong Kong

2021 ◽  
Author(s):  
Jiangsheng Zhao ◽  
Zhibin Xu ◽  
Jiansong Zheng ◽  
Binglin Tang ◽  
Yaoxi Jin
Keyword(s):  
Hong Kong ◽  
Stock Market ◽  
Market Returns ◽  
Stock Market Returns

scholarly journals The relationship between mutual fund flows and stock market returns: A comparative empirical analysis

2010 ◽  
Vol 8 (1) ◽  
pp. 785-799
Author(s):  
B. Yangbo ◽  
Jayasinghe Wickramanayake ◽  
John R. Watson ◽  
Stan Tsigos
Keyword(s):  
Hong Kong ◽  
Stock Market ◽  
Mutual Fund ◽  
Fund Flows ◽  
Market Returns ◽  
Stock Market Returns ◽  
The Difference ◽  
Mutual Fund Flows ◽  
The Relationship ◽  
Equity Mutual Fund

This paper examines the relationship between aggregate equity mutual fund flows and excess stock market returns in Hong Kong and Singapore. Our findings demonstrate that, in Hong Kong, two-way causality exists between aggregate equity mutual fund flows and stock market returns. In comparison, despite their close proximity and reputation as global hubs no such finding is reported in the case of Singapore. We find that in Singapore, neither aggregate equity mutual fund flows Granger-cause subsequent excess stock market returns nor excess stock market returns Granger-cause subsequent aggregate equity mutual fund flows. The difference in findings is attributed to the degree of openness for each country. Additionally, for both Hong Kong and Singapore, we find that contemporaneous aggregate unexpected equity mutual fund flows positively affect excess stock market returns and vice versa. The study contributes to the literature by providing support with what is already known in regards investor heuristics, that excess stock market returns has a positive effect on aggregate equity mutual fund flows.

scholarly journals GARCH Models with Fat-Tailed Distributions and the Hong Kong Stock Market Returns

2017 ◽  
Vol 12 (9) ◽  
pp. 28 ◽  
Author(s):  
Zi-Yi Guo
Keyword(s):  
Risk Management ◽  
Hong Kong ◽  
Stock Market ◽  
Gaussian Distribution ◽  
Inverse Gaussian Distribution ◽  
Garch Models ◽  
Inverse Gaussian ◽  
Market Returns ◽  
Stock Market Returns ◽  
Hong Kong Stock Market

As one of the world’s largest securities markets, the Hong Kong stock market plays a significant role in facilitating the development of Chinese economy. In this paper, we investigate a suite of widely-used models, the GARCH models in risk management of the Hong Kong stock market returns. To account for conditional volatilities, we consider a new type of fat-tailed distribution, the normal reciprocal inverse Gaussian distribution (NRIG), and compare its empirical performance with two other popular types of fat-tailed distribution, the Student’s t distribution and the normal inverse Gaussian distribution (NIG). We show that the NRIG distribution performs slightly better than the other two types of distribution. Also, our results indicate that it is important to introduce both GJR-terms and the NRIG distribution to improve the models’ performance. Our results illustrate that the asymmetric GARCH NRIG model has practical advantages in quantitative risk management, and serves as a very useful tool for industry participants.

scholarly journals The Effects of Extreme Weather Conditions on Hong Kong and Shenzhen Stock Market Returns

2019 ◽  
Vol 7 (4) ◽  
pp. 70
Author(s):  
Zhuhua Jiang ◽  
Sang Hoon Kang ◽  
Chongcheul Cheong ◽  
Seong-Min Yoon
Keyword(s):  
Hong Kong ◽  
Stock Market ◽  
Stock Returns ◽  
Stock Exchange ◽  
Weather Conditions ◽  
Extreme Weather ◽  
Strong Impact ◽  
Market Returns ◽  
Stock Market Returns ◽  
The Impact

We investigate the impact of extreme weather conditions on the stock market returns of the Hong Kong Stock Exchange and Shenzhen Exchange. For the weather conditions, we apply dummy variables generated by applying a moving average and moving standard deviation. Our study provides two interesting results. First, extreme weather conditions have a significant impact on the stock returns of the Shenzhen Exchange, indicating that the Shenzhen market is inefficient. Second, during the pre-QFII period, extreme weather conditions have a strong impact on the returns of the Shenzhen stock market, but the impact is significantly weaker in the period after QFII. This means that the efficiency of the Shenzhen stock market has significantly increased since the QFII program due to the market openness to foreign institutional investors. We emphasize the role of foreign investors not affected by local weather conditions by observing how market opening affects extreme weather impacts on stock market returns.

Relationship between Foreign Portfolio Investments (FPI), Domestic Institutional Investors, and Stock Market Returns in India

GIS Business ◽  
2017 ◽  
Vol 12 (6) ◽  
pp. 1-9
Author(s):  
Dhananjaya Kadanda ◽  
Krishna Raj
Keyword(s):  
Stock Market ◽  
Institutional Investors ◽  
Negative Relationship ◽  
Trading Strategies ◽  
Market Returns ◽  
Stock Market Returns ◽  
Foreign Portfolio Investment ◽  
Stock Market Return ◽  
Indian Stock Market ◽  
Feedback Trading

The present article attempts to understand the relationship between foreign portfolio investment (FPI), domestic institutional investors (DIIs), and stock market returns in India using high frequency data. The study analyses the trading strategies of FPIs, DIIs and its impact on the stock market return. We found that the trading strategies of FIIs and DIIs differ in Indian stock market. While FIIs follow positive feedback trading strategy, DIIs pursue the strategy of negative feedback trading which was more pronounced during the crisis. Further, there is negative relationship between FPI flows and DII flows. The results indicate the importance of developing strong domestic institutional investors to counteract the destabilising nature FIIs, particularly during turbulent times.

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