SEASONAL EFFECTS AND ARCH IN THE HONG KONG FUTURES MARKETS
Abstract
This paper attempts to examine a number of issues regarding the returns on the Hang Seng Index Futures traded in Hong Kong. The daily returns are separated into close‐to‐close, close‐to‐open, and open‐to‐close periods and the three returns examined for autocorrelation, GARCH and seasonal effects. The study reveals that the CLCL returns are autocorrelated and that most of the returns exhibit GARCH effects. With regard to seasonal effects the results are mixed.
Citation
RAJ, M. (2003), "SEASONAL EFFECTS AND ARCH IN THE HONG KONG FUTURES MARKETS", Studies in Economics and Finance, Vol. 21 No. 2, pp. 84-97. https://doi.org/10.1108/eb028776
Publisher
:MCB UP Ltd
Copyright © 2003, MCB UP Limited