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Realized volatility of index constituent stocks in Hong Kong

Ying-Foon Chow, James T.K. Lam and Hinson S. Yeung

Mathematics and Computers in Simulation (MATCOM), 2009, vol. 79, issue 9, 2809-2818

Abstract: High-frequency financial data are useful for studying the statistical properties of asset returns at lower frequencies, and they have been widely used to study various market microstructure related issues. However, most studies to date have been concentrated on markets in developed economies such as the stock markets in US or UK. This article aims to investigate the statistical properties of stock return volatility in Hong Kong. Using the sample of constituent stocks of Hang Seng Index (HSI) and Hang Seng China Enterprises Index (HSCEI or “H-shares Index”), we found that the mean daily realized volatilities of HSCEI stocks to be significantly higher than their HSI counterpart, while the correlations between H-shares stay relatively lower than that of HSI stocks. A long-memory effect is also reported for the logarithmic standard deviations of all shares, with most of them showing slow decay over the series.

Keywords: Equity markets; High-frequency data; Realized volatility; Correlation (search for similar items in EconPapers)
Date: 2009
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