This study aims to investigate the dynamic return and asymmetric volatility transmissions between the main stock market and the Growth Enterprise Market in Hong Kong. Unlike previous studies, this study examines the cross-market transmissions under the joint impacts of volatility breaks, thin trading, and trading volume. A linear state-space AR model with Kalman filter estimation and an augmented bivariate VAR asymmetric BEKK-GARCH model are employed for empirical analysis. The results determine that under the joint impacts of volatility breaks, thin trading, and trading volume, a unidirectional return transmission from the GEM to the main market survives with the diminishing magnitude and significant level. However, the underlying volatility transmission from the GEM to the main market, in essence, is eliminated. This paper aims to be a proof of concept to provide sufficient evidence of methodological viability, which can then be used in larger-scale research or replicated in new settings.
|Title of host publication||Economics and Finance Readings|
|Subtitle of host publication||Selected Papers from Asia-Pacific Conference on Economics & Finance, 2019|
|Editors||Evan Lau, Biagio Simonetti, Irwan Trinugroho, Lee Ming Tan|
|Place of Publication||Singapore|
|Number of pages||21|
|ISBN (Print)||978-981-15-2905-4, 978-981-15-2908-5|
|Publication status||Published - May 2020|