Stock return, trading volume, and volatility: an empirical study of Hong Kong.

• Other Authors: Sze, Kin Wan.
• Format: Others
• Language: English; Chinese
• Published: 1998
• Subjects: Stock exchanges; Stock exchanges > China > Hong Kong; Rate of return > Mathematical models; Rate of return > China > Hong Kong > Mathematical models
• Online Access: http://library.cuhk.edu.hk/record=b5889603; http://repository.lib.cuhk.edu.hk/en/item/cuhk-322170

by Sze Kin Wan. === Thesis (M.Phil.)--Chinese University of Hong Kong, 1998. === Includes bibliographical references (leaves 69-75). === Abstract also in Chinese. === ACKNOWLEDGMENTS --- p.iii === LIST OF TABLES --- p.iv === LIST OF ILLUSTRATIONS --- p.v === CHAPTER === Chapter ONE --- INTRODUCTION --- p.1 === Chapter TWO --- REVIEW OF THE LITERATURE --- p.7 === Stock Returns and Trading Volume === Volatility === Chapter THREE --- ECONOMETRIC ANALYSIS --- p.16 === Unit Root Tests === Lag Length Tests === Causality Detection between Two Series === ARCH Modelling === Chapter FOUR --- DATA AND ESTIMATION RESULTS --- p.34 === Data === Unit Root Test === Optimal Lag Length === Causality Detection === GARCH Modelling === Chapter FIVE --- CONCLUSION --- p.62 === APPENDIX --- p.67 === BIBLIOGRAPHY --- p.69 === ILLUSTRATIONS --- p.76