Asymmetric risk transfer measurement of Hang Seng or Shanghai stock exchange index reward for Steve Leung Design Group index reward

• Main Authors: HSU,SHIH-YU, 許師與
• Other Authors: YANG,YUNG-LIEH
• Format: Others
• Language: zh-TW
• Published: 2019
• Online Access: http://ndltd.ncl.edu.tw/handle/cr43p8

碩士 === 嶺東科技大學 === 高階主管企管碩士在職專班 === 107 === This study uses the GJR-GARCH model and uses the Quantmod package of R to download the data of Steve Leung Design Group, Hong Kong Hang Seng Index and Shanghai Composite Index to discuss after the listing of Steve Leung Design Group, from July 5, 2018 to February 6, 2019, a total of 150 valid data were analyzed to analyze the risk transfer of Hong Kong's Hang Seng Index or the Shanghai Stock Exchange Index's return to the stock price of Steve Leung Design Group. The empirical results show that the stock price remuneration of Hong Kong Steve Leung Design Group will be affected by the unexpected changes in the previous period (new information) and the fluctuation of the previous period (old information), and the variance is non-fixed and will change with time. Both the Hong Kong Hang Seng Index and the Shanghai Composite Index have significant effects on asymmetric risk transmission. The Shanghai Composite Index (-0.085) is greater than the Hong Kong Hang Seng Index (-0.075).