Determinant factors of Hong Kong stock market

Alexandros E. Garefalakis, Augustinos Dimitras, Dimitris Koemtzopoulos, Konstantinos Spinthiropoulos

    Research output: Contribution to journalArticlepeer-review


    The purpose of this paper is to explore the effects of equity, energy, gold and currency indicators on Hang Seng index. The results suggest that the major stock markets, and particularly the SP500, positively influence the Hong Kong stock market, a fact that is attributed to the integration and internationalization of stock markets. This study, also, provides evidence that crude oil, as a proxy for economic activity and playing a substantial role to modern portfolio formation, affect, also, positively the Hong Kong stock market. Furthermore, the results show that the volatility of the gold returns influence negatively the mean return of the Hang Seng index. Finally, our findings show that the Hang Seng index return volatility has reveals the asymmetric phenomenon as it appears to be more volatile in response to negative shocks caused by lower Hang Seng index prices.

    Original languageEnglish
    Pages (from-to)50-60
    Number of pages11
    JournalInternational Research Journal of Finance and Economics
    Publication statusPublished - Feb 2011


    • Crude oil
    • Exchange rates
    • GJR-GARCH model
    • Gold
    • Stock market


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